ELLIOTT, ROBERT J.; SIU, TAK KUEN; CHAN, LEUNGLUNG - In: International Journal of Theoretical and Applied … 09 (2006) 06, pp. 825-841
switching conditional Esscher transform (MSCET) is developed to identify a martingale measure for option valuation in the … chain process. By augmenting the conditional Esscher transform with the observable Markov switching process, a Markov …
