Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes

DOI10.1080/1350486X.2012.655929zbMath1457.91372OpenAlexW1989870787MaRDI QIDQ3176516

Tak Kuen Siu, Robert J. Elliott

Publication date: 20 July 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2012.655929

zbMATH Keywords

option pricingintegral representationEsscher transformrobust filtershidden Markov-modulated pure-jump processesLaplace cumulant process

Mathematics Subject Classification ID

Special integral transforms (Legendre, Hilbert, etc.) (44A15) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (21)

How do capital structure and economic regime affect fair prices of bank's equity and liabilities? ⋮ A self-exciting threshold jump-diffusion model for option valuation ⋮ A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing ⋮ Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market ⋮ A generalized Esscher transform for option valuation with regime switching risk ⋮ Lower and upper pricing of financial assets ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales ⋮ Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ Multi-criteria classification for pricing European options ⋮ Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process ⋮ A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems ⋮ Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences ⋮ Asset pricing using trading volumes in a hidden regime-switching environment ⋮ Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model ⋮ Option pricing in regime-switching frameworks with the extended Girsanov principle ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy ⋮ Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models ⋮ Pricing annuity guarantees under a double regime-switching model

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