Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
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
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)
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Cited In (22)
- Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models
- Asset pricing using trading volumes in a hidden regime-switching environment
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