Option pricing and filtering with hidden Markov-modulated pure-jump processes

DOI10.1080/1350486X.2012.655929MaRDI QIDQ3176516zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Tak Kuen Siu

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

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)

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Cited in

(25)

• Option pricing under regime-switching models: novel approaches removing path-dependence
• A hidden Markov-modulated jump diffusion model for European option pricing
• 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
• Lévy backward SDE filter for jump diffusion processes and its applications in material sciences
• Option pricing for pure jump processes with Markov switching compensators
• Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
• Hedging options in a doubly Markov-modulated financial market via stochastic flows
• Empirical Performance and Asset Pricing in Hidden Markov Models
• Multi-criteria classification for pricing European options
• Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
• Lower and upper pricing of financial assets
• A self-exciting threshold jump-diffusion model for option valuation
• Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
• A hidden Markov regime-switching model for option valuation
• Pricing dynamic fund protection under hidden Markov models
• A generalized Esscher transform for option valuation with regime switching risk
• Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
• A backward doubly stochastic differential equation approach for nonlinear filtering problems
• Pricing annuity guarantees under a double regime-switching model

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