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Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/213744
Description: This article discusses the pricing of derivatives in a continuous-time, hidden Markov-modulated, pure-jump asset price model. The hidden Markov chain modulating the pure-jump asset price model describ ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/163850
Description: Under discrete-time GARCH models markets are incomplete so there is more than one price kernel for valuing contingent claims. This motivates the quest for selecting an appropriate price kernel. Differ ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1140920
Description: 14 page(s)
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136089
Description: We consider the pricing of options when the dynamics of the risky underlying asset are driven by a Markov-modulated jump-diffusion model. We suppose that the market interest rate, the drift and the vo ... More
Reviewed: Reviewed
Date: 2005
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136074
Description: We consider the option pricing problem when the risky underlying assets are driven by Markov-modulated Geometric Brownian Motion (GBM). That is, the market parameters, for instance, the market interes ... More
Reviewed: Reviewed
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