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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: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136340
Description: The Esscher transform is an important tool in actuarial science. Since the pioneering work of Gerber and Shiu (1994), the use of the Esscher transform for option valuation has also been investigated e ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/137366
Description: This paper considers a partial differential equation (PDE) approach to evaluate coherent risk measures for derivative instruments when the dynamics of the risky underlying asset are governed by a Mark ... More
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: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136070
Description: We consider a regime-switching HJB approach to evaluate risk measures for derivative securities when the price process of the underlying risky asset is governed by the exponential of a pure jump proce ... 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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