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Search: subject:"Regime-switching Esscher transform"
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Markov chain
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Option pricing theory
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Regime switching Esscher transform
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Regime-switching Esscher transform
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State-dependent Heath-Jarrow-Morton model
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observable Markov chain process
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regime switching OU-process
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Applied Mathematical Finance
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Valuation of chooser options with state-dependent risks
Lian, Yu-Min
;
Chen, Jun-Home
- In:
Finance research letters
52
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014471998
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2
On the price of risk under a regime switching CGMY process
Asiimwe, Pious
;
Mahera, Charles Wilson
;
Menoukeu-Pamen, …
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 305-335
Persistent link: https://www.econbiz.de/10011619970
Saved in:
3
Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
Elliott, Robert
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Applied Mathematical Finance
14
(
2007
)
1
,
pp. 41-62
, and hence, there is more than one equivalent martingale pricing measure. The
regime
switching
Esscher
transform
used by …
Persistent link: https://www.econbiz.de/10005279052
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