Asset pricing using trading volumes in a hidden regime-switching environment
DOI10.1007/S10690-014-9197-4zbMATH Open1368.91170OpenAlexW2143252561MaRDI QIDQ2013295FDOQ2013295
Authors: Robert J. Elliott, Tak Kuen Siu 
Publication date: 17 August 2017
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-014-9197-4
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Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- The pricing of options and corporate liabilities
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- Regime-switching risk: to price or not to price?
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Cited In (5)
- Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- A self-exciting threshold jump-diffusion model for option valuation
- A martingale approach for asset allocation with derivative security and hidden economic risk
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