Su, Xiaonan; Wang, Wensheng; Hwang, Kyo-Shin - In: Statistics & Probability Letters 82 (2012) 10, pp. 1777-1785
In this paper, we deal with the pricing of European style options when the dynamics of the risky underlying asset are driven by a Markov-modulated jump diffusion with stochastic volatility. We investigate the Radon–Nikodym derivative for the minimal martingale measure and a partial...