On the price of risk under a regime switching CGMY process

DOI10.1007/S10690-016-9219-5zbMath1418.91499OpenAlexW2510985989WikidataQ59474958 ScholiaQ59474958MaRDI QIDQ1627726

Charles Wilson Mahera, Pious Asiimwe, Olivier Menoukeu Pamen

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: http://link.springer.com/10.1007/s10690-016-9219-5

zbMATH Keywords

option pricingregime switching riskexponential Lévy modelregime switching Esscher transform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing ⋮ Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models ⋮ An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market

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