Siu, Tak Kuen; Fung, Eric S.; Ng, Michael K. - In: Applied Mathematical Finance 18 (2011) 6, pp. 473-490
This article develops an option valuation model in the context of a discrete-time double Markovian regime-switching (DMRS) model with innovations having a generic distribution. The DMRS model is more flexible than the traditional Markovian regime-switching model in the sense that the drift and...