OPTION PRICING WITH A LEVY-TYPE STOCHASTIC DYNAMIC MODEL FOR STOCK PRICE PROCESS UNDER SEMI-MARKOVIAN STRUCTURAL PERTURBATIONS
DOI10.1142/S0219024915500521zbMath1337.91084OpenAlexW2185802468MaRDI QIDQ3467597
Patrick Assonken, Gangaram S. Ladde
Publication date: 3 February 2016
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024915500521
characteristic functionsemi-Markov processminimum entropyregime switching modelscalibration and simulation option prices
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Markov renewal processes, semi-Markov processes (60K15) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Minimal entropy martingale measures of jump type price processes in incomplete assets markets
- Stylized facts of financial time series and hidden semi-Markov models
- An explicit analytic formula for pricing barrier options with regime switching
- An Introduction to Differential Equations
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Risk Minimizing Option Pricing in a Semi-Markov Modulated Market
- Fourier space time-stepping for option pricing with Lévy models
- Lévy Processes and Stochastic Calculus
- Financial Modelling with Jump Processes
- Markov renewal theory