A generalized Esscher transform for option valuation with regime switching risk-Reference-Cited by-同舟云学术

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A generalized Esscher transform for option valuation with regime switching risk

Published:2021-12-09 Issue: Volume: Page:1-15
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Elliott R. J.¹²,Siu T. K.³

Affiliation:

1. Haskayne School of Business, University of Calgary, Calgary, Alberta, T2N 1N, Canada

2. School of Business, University of South Australia, Adelaide, SA, 5072, Australia

3. Department of Actuarial Studies and Business Analytics, Macquarie Business School, Macquarie University, Sydney, NSW, 2109, Australia

Funder

Australian Research Council

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.2005251

Reference62 articles.

1. Regime switching rough Heston model

2. Term Structure of Interest Rates with Regime Shifts

3. Options: A Monte Carlo approach

4. Pricing exotic options under regime switching

5. Option Prices, Implied Price Processes, and Stochastic Volatility

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. European option pricing with market frictions, regime switches and model uncertainty;Insurance: Mathematics and Economics;2023-11

2. Pricing Equity-Indexed Annuities under a Stochastic Dividend Model;Mathematics;2023-01-25

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