In this paper we introduce a discrete time pricing model for a European call option when the log-return of the underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be priced in the market. The paper shows how to estimate this...

In this paper we introduce a pricing model for a European call option when the price of the underlying stock (asset) follows a random walk with Markov Chain type of shifts in the drift and volatility parameters according to the regime that the stock market lies in, at a given period of time. We...

This paper deals with dependence across marginally exponentially distributed arrival times, such as default times in financial modeling or inter-failure times in reliability theory. We explore the relationship between dependence and the possibility to sample final multivariate survival in a long...