Option pricing under jump-diffusion processes with regime switching (Q340129)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing under jump-diffusion processes with regime switching |
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Option pricing under jump-diffusion processes with regime switching (English)
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11 November 2016
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The author considers a jump-diffusion process with time-dependent deterministic driving parameters that are simultaneously switched at random times, and construct a viable pricing formula therein by computing the expectation of a payoff function with respect to a suitably chosen equivalent martingale measure.
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jump-diffusion process
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pricing formula
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equivalent martingale measure
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