OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR

DOI10.1142/S0219024914500204zbMath1410.91445MaRDI QIDQ5420701

Ahmed S. Hamada, Robert J. Elliott

Publication date: 13 June 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

option pricing; regime switching; stochastic discount factor; continuous time Markov chain

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G44: Martingales with continuous parameter

91G20: Derivative securities (option pricing, hedging, etc.)

60J27: Continuous-time Markov processes on discrete state spaces

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Econometric specification of stochastic discount factor models
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• A PDE approach for risk measures for derivatives with regime switching
• Fourier inversion formulas in option pricing and insurance
• Option pricing for pure jump processes with Markov switching compensators
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• Martingales and stochastic integrals in the theory of continuous trading
• A stochastic calculus model of continuous trading: Complete markets
• Equity with Markov-modulated dividends
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• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS