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

zbMATH Keywords

characteristic functionsemi-Markov processminimum entropyregime switching modelscalibration and simulation option prices

Mathematics Subject Classification ID

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

Lévy-type nonlinear stochastic dynamic model, method and analysis

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