Option pricing with a Lévy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations

DOI10.1142/S0219024915500521zbMATH Open1337.91084OpenAlexW2185802468MaRDI QIDQ3467597FDOQ3467597

Authors: Patrick Assonken, G. 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

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zbMATH Keywords

characteristic functionminimum entropysemi-Markov processregime switching modelscalibration and simulation option prices

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov renewal processes, semi-Markov processes (60K15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Cites Work

• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Lévy Processes and Stochastic Calculus
• Minimal entropy martingale measures of jump type price processes in incomplete assets markets
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Markov renewal theory
• An introduction to differential equations. Vol. 2. Stochastic modeling, methods, and analysis.
• Fourier space time-stepping for option pricing with Lévy models
• Risk Minimizing Option Pricing in a Semi-Markov Modulated Market
• Title not available (Why is that?)
• Stylized facts of financial time series and hidden semi-Markov models
• An explicit analytic formula for pricing barrier options with regime switching

Cited In (1)

• Lévy-type nonlinear stochastic dynamic model, method and analysis

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