Option pricing when the regime-switching risk is priced

DOI10.1007/s10255-008-8803-5zbMath1188.91222OpenAlexW2033070835MaRDI QIDQ1036916

Hailiang Yang, Tak Kuen Siu

Publication date: 13 November 2009

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-008-8803-5

zbMATH Keywords

Esscher transformoption valuationregime-switching riskmartingale restrictionmin-max entropy problemtwo-stage pricing procedure

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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