A generalized Esscher transform for option valuation with regime switching risk

R.J. Elliott and T.K. Siu

Year of publication:	2022
Authors:	Elliott, Robert J. ; Siu, Tak Kuen
Subject:	Generalized Esscher transform \| Martingale condition \| Option pricing \| Regime switching risk \| Optionspreistheorie \| Option pricing theory \| Markov-Kette \| Markov chain \| Martingal \| Martingale

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