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.
- Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
- 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.
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