Option pricing and filtering with hidden Markov-modulated pure-jump processes
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Publication:3176516
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Cites work
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Cited in
(25)- Lower and upper pricing of financial assets
- European option pricing with market frictions, regime switches and model uncertainty
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
- A self-exciting threshold jump-diffusion model for option valuation
- Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
- Lévy backward SDE filter for jump diffusion processes and its applications in material sciences
- Pricing annuity guarantees under a double regime-switching model
- Option pricing for pure jump processes with Markov switching compensators
- Asset pricing using trading volumes in a hidden regime-switching environment
- Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
- A hidden Markov regime-switching model for option valuation
- Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
- Multi-criteria classification for pricing European options
- How do capital structure and economic regime affect fair prices of bank's equity and liabilities?
- Empirical Performance and Asset Pricing in Hidden Markov Models
- Pricing dynamic fund protection under hidden Markov models
- A hidden Markov-modulated jump diffusion model for European option pricing
- Option pricing under regime-switching models: novel approaches removing path-dependence
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- A generalized Esscher transform for option valuation with regime switching risk
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
- A backward doubly stochastic differential equation approach for nonlinear filtering problems
- Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
- Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
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