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Option pricing in a jump-diffusion model with regime switching

Author(s) : Yuen, FL , Yang, H
Description : Nowadays, the regime switching model has become a popular model in mathematical finance and actuarial science. The market is not complete when the model has regime switching. Thus, pricing the regime switching risk is an important issue. In Naik (1993), a jump diffusion model with two regimes is stu...
Repository : The HKU Scholars Hub , View repository documents
Language(s) : English
Subject(s) : Jump-diffusion model , Option pricing , Price of regime switching risk , Regime switching , Trinomial tree method
Publisher(s) : Peeters Publishers. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST , Belgium
Contributor(s) :
Source(s) :
Publication Date(s) : 2010-10-31