Pricing power options with a generalized jump diffusion
Author:
Affiliation:
1. School of Science, Donghua University, Shanghai, China
2. School of Information Science and Technology, Donghua University, Shanghai, China
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2016.1257138
Reference23 articles.
1. Markov-modulated jump–diffusions for currency option pricing
2. The minimal entropy martingale measure in a market of traded financial and actuarial risks
3. Option pricing and Esscher transform under regime switching
4. Option Pricing for Pure Jump Processes with Markov Switching Compensators
5. General valuation principles for arbitrary payoffs and applications to power options under stochastic volatility
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