Option Pricing for Pure Jump Processes with Markov Switching Compensators
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More about this item
KeywordsJump process; Markov switching; Compensator; Characteristic function; European options; Hedging; 91B28; 60G10; 60G44; 60G51; G12; G13; D52;
- 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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