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Option Pricing for Pure Jump Processes with Markov Switching Compensators

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Author Info
Robert Elliott ()
Carlton-James Osakwe ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-006-0004-6
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 10 (2006)
Issue (Month): 2 (April)
Pages: 250-275
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Handle: RePEc:spr:finsto:v:10:y:2006:i:2:p:250-275

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Related research
Keywords: Jump process; Markov switching; Compensator; Characteristic function; European options; Hedging; 91B28; 60G10; 60G44; 60G51; G12; G13; D52;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Carrasco, Marine & Florens, Jean-Pierre, 2000. "Generalization Of Gmm To A Continuum Of Moment Conditions," Econometric Theory, Cambridge University Press, vol. 16(06), pages 797-834, December. [Downloadable!]
  2. Knight, John L. & Yu, Jun, 2002. "Empirical Characteristic Function In Time Series Estimation," Econometric Theory, Cambridge University Press, vol. 18(03), pages 691-721, June. [Downloadable!]
  3. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Tak Kuen Siu & Hailiang Yang Unim & John W Lau, 2007. "Option Pricing When the Regime-Switching Risk is Priced," CRIEFF Discussion Papers 0713, Centre for Research into Industry, Enterprise, Finance and the Firm. [Downloadable!]
  2. Robert Elliott & Leunglung Chan & Tak Siu, 2006. "Risk measures for derivatives with Markov-modulated pure jump processes," Asia-Pacific Financial Markets, Springer, vol. 13(2), pages 129-149, June. [Downloadable!] (restricted)
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