Shen, Yang; Siu, Tak Kuen - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 757-768
In this paper, we discuss three different approaches to select an equivalent martingale measure for the valuation of contingent claims under a Markovian regime-switching Lévy model. These approaches are the game theoretic approach, the Esscher transformation approach and the general equilibrium...