Option pricing and filtering with hidden Markov-modulated pure-jump processes
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Publication:3176516
DOI10.1080/1350486X.2012.655929zbMATH Open1457.91372OpenAlexW1989870787MaRDI QIDQ3176516FDOQ3176516
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
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option pricingintegral representationEsscher transformrobust filtershidden Markov-modulated pure-jump processesLaplace cumulant process
Applications of continuous-time Markov processes on discrete state spaces (60J28) Derivative securities (option pricing, hedging, etc.) (91G20) Special integral transforms (Legendre, Hilbert, etc.) (44A15)
Cites Work
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Cited In (23)
- Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models
- Asset pricing using trading volumes in a hidden regime-switching environment
- Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
- Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
- Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
- How do capital structure and economic regime affect fair prices of bank's equity and liabilities?
- European option pricing with market frictions, regime switches and model uncertainty
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- Option pricing for pure jump processes with Markov switching compensators
- Empirical Performance and Asset Pricing in Hidden Markov Models
- A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems
- Multi-criteria classification for pricing European options
- A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
- Lower and upper pricing of financial assets
- Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
- A self-exciting threshold jump-diffusion model for option valuation
- A generalized Esscher transform for option valuation with regime switching risk
- Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences
- Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
- Pricing annuity guarantees under a double regime-switching model
- HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS
- Option pricing under regime-switching models: novel approaches removing path-dependence
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