Shen, Yang; Fan, Kun; Siu, Tak Kuen - In: Journal of Futures Markets 34 (2014) 5, pp. 451-478
<section xml:id="fut21613-sec-0001"> This paper is concerned with option valuation under a double regime‐switching model, where both the model parameters and the price level of the risky share depend on a continuous‐time, finite‐state, observable Markov chain. In this incomplete market set up, we first employ a generalized...</section>
