Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model

DOI10.1080/07362990701420118zbMath1155.91380OpenAlexW2084206021MaRDI QIDQ3592749

Leunglung Chan, Tak Kuen Siu, John W. Lau, Robert J. Elliott

Publication date: 21 September 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990701420118

zbMATH Keywords

option pricingregime switchingAmerican optionsEuropean optionsjump-diffusionEsscher transformcompletely random measuresgeneralized gamma process

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20)

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