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Option pricing for pure jump processes with Markov switching compensators

Elliott, Robert J. R.; Osakwe, Carlton-James U. - In: Finance and stochastics 10 (2006) 2, pp. 250-275

Persistent link: https://www.econbiz.de/10003334921

Pricing and hedging of rating-sensitive claims modeled by F-doubly stochastic Markov chains

Jakubowski, Jacek; Niewęgłowski, Mariusz - In: Advanced mathematical methods for finance, (pp. 417-453). 2011

Persistent link: https://www.econbiz.de/10008991278

Martingale approach in pricing and hedging European options under regime-switching

Milʹstejn, Grigorij N.; Spokojnyj, Vladimir G. - 2011

The paper focuses on the problem of pricing and hedging a European contingent claim for an incomplete market model, in …

Persistent link: https://www.econbiz.de/10009379451

A diffusion approximation to the Markov chains model of the financial market and the expected riskless profit under selling of call and put options /

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded....

Persistent link: https://www.econbiz.de/10009728973