The MEMMs for Markov-modulated GBMs

MaRDI QIDQ5398745zbMATH OpenFDO

Authors Bo Wang, Ruili Song

Publication date 28 February 2014

zbMATH Keywords

geometric Brownian motionhidden Markov chain modelmartingale measure

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Martingales and classical analysis (60G46) Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(7)

• The MEMMs for Markov switching Lévy processes
• Two-factor Markov-modulated stochastic volatility models for option pricing
• The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model
• A markov modulated financial model
• [GLP & MEMM] Pricing Models and Related Problems
• Variance swaps pricing under the regime-switching jump-diffusion model
• Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes

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