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Option Pricing for Pure Jump Processes with Markov Switching Compensators

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  • Robert Elliott
  • Carlton-James Osakwe

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Suggested Citation

  • Robert Elliott & Carlton-James Osakwe, 2006. "Option Pricing for Pure Jump Processes with Markov Switching Compensators," Finance and Stochastics, Springer, vol. 10(2), pages 250-275, April.
    • Handle: RePEc:spr:finsto:v:10:y:2006:i:2:p:250-275
    DOI: 10.1007/s00780-006-0004-6
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    References listed on IDEAS

    as
    1. David B. Colwell & Robert J. Elliott, 1993. "Discontinuous Asset Prices And Non‐Attainable Contingent Claims1," Mathematical Finance, Wiley Blackwell, vol. 3(3), pages 295-308, July.
    2. Knight, John L. & Yu, Jun, 2002. "Empirical Characteristic Function In Time Series Estimation," Econometric Theory, Cambridge University Press, vol. 18(3), pages 691-721, June.
    3. John Buffington & Robert J. Elliott, 2002. "American Options With Regime Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(05), pages 497-514.
    4. Carrasco, Marine & Florens, Jean-Pierre, 2000. "Generalization Of Gmm To A Continuum Of Moment Conditions," Econometric Theory, Cambridge University Press, vol. 16(6), pages 797-834, December.
    5. Schweizer, Martin, 1991. "Option hedging for semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 37(2), pages 339-363, April.
    6. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Jump process; Markov switching; Compensator; Characteristic function; European options; Hedging; 91B28; 60G10; 60G44; 60G51; G12; G13; D52;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets

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