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https://hdl.handle.net/2440/35004
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DC Field | Value | Language |
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dc.contributor.author | Elliott, R. | - |
dc.date.issued | 2006 | - |
dc.identifier.citation | Finance and Stochastics, 2006; 10(2):250-275 | - |
dc.identifier.issn | 0949-2984 | - |
dc.identifier.issn | 1432-1122 | - |
dc.identifier.uri | http://hdl.handle.net/2440/35004 | - |
dc.description.abstract | This paper proposes a model for asset prices which is the exponential of a pure jump process with an N-state Markov switching compensator. We argue that such a process has a good chance of capturing all the empirical stylized regularities of stock price dynamics and we provide a closed form representation of its characteristic function. We also provide a parsimonious representation of the (not necessarily unique) risk neutral density and showhowto price and hedge a large class of options on assets whose prices follow this process. | - |
dc.description.statementofresponsibility | Robert J. Elliott and Carlton-James U. Osakwe | - |
dc.language.iso | en | - |
dc.publisher | Springer-Heidelberg | - |
dc.source.uri | http://www.springerlink.com/content/wh3546g617754qn0/ | - |
dc.subject | Jump process | - |
dc.subject | Markov switching | - |
dc.subject | Compensator | - |
dc.subject | Characteristic Function | - |
dc.subject | European options | - |
dc.subject | Hedging | - |
dc.title | Option pricing for pure jump processes with Markov switching compensators | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.1007/s00780-006-0004-6 | - |
pubs.publication-status | Published | - |
Appears in Collections: | Applied Mathematics publications Aurora harvest 6 |
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