Option pricing and Esscher transform under regime switching
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Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 1 (2005)
Issue (Month): 4 (October)
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Web page: http://www.springerlink.com/link.asp?id=112370
Option pricing; Regime switching; Hidden Markov chain model; Esscher transform; MEMM; G13;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- Buchen, Peter W. & Kelly, Michael, 1996. "The Maximum Entropy Distribution of an Asset Inferred from Option Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(01), pages 143-159, March.
- Gerber, Hans U. & Shiu, Elias S. W., 1996. "Actuarial bridges to dynamic hedging and option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 18(3), pages 183-218, November.
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- Harrison, J. Michael & Pliska, Stanley R., 1983. "A stochastic calculus model of continuous trading: Complete markets," Stochastic Processes and their Applications, Elsevier, vol. 15(3), pages 313-316, August.
- Robert J. Elliott & John van der Hoek, 1997. "An application of hidden Markov models to asset allocation problems (*)," Finance and Stochastics, Springer, vol. 1(3), pages 229-238.
- Marco Frittelli, 2000. "The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 39-52.
- Kitamura, Yuichi & Stutzer, Michael, 2002. "Connections between entropic and linear projections in asset pricing estimation," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 159-174, March.
- X. Guo, 2001. "Information and option pricings," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 38-44.
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