Option pricing under jump-diffusion processes with regime switching (Q340129)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Option pricing under jump-diffusion processes with regime switching |
scientific article; zbMATH DE number 6652325
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Option pricing under jump-diffusion processes with regime switching |
scientific article; zbMATH DE number 6652325 |
Statements
Option pricing under jump-diffusion processes with regime switching (English)
0 references
11 November 2016
0 references
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.
0 references
jump-diffusion process
0 references
pricing formula
0 references
equivalent martingale measure
0 references
0 references
0.8747202754020691
0 references
0.871097207069397
0 references
0.8403587341308594
0 references
