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https://hdl.handle.net/2440/79576
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dc.contributor.author | Elliott, R. | - |
dc.contributor.author | Siu, T. | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Applied Mathematical Finance, 2013; 20(1):1-25 | - |
dc.identifier.issn | 1350-486X | - |
dc.identifier.issn | 1466-4313 | - |
dc.identifier.uri | http://hdl.handle.net/2440/79576 | - |
dc.description.abstract | This article discusses the pricing of derivatives in a continuous-time, hidden Markov-modulated, pure-jump asset price model. The hidden Markov chain modulating the pure-jump asset price model describes the evolution of the hidden state of an economy over time. The market model is incomplete. We employ a version of the Esscher transform to select a price kernel for valuation. We derive a valuation formula for European options using a Fourier transform and the correlation theorem. This formula depends on the hidden Markov chain. It is then estimated using a robust filter of the chain. | - |
dc.description.statementofresponsibility | Robert J. Elliott & Tak Kuen Siu | - |
dc.language.iso | en | - |
dc.publisher | Routledge | - |
dc.rights | © 2013 Taylor & Francis | - |
dc.source.uri | http://dx.doi.org/10.1080/1350486x.2012.655929 | - |
dc.subject | Option pricing | - |
dc.subject | hidden Markov-modulated pure-jump processes | - |
dc.subject | Esscher transform | - |
dc.subject | Laplace cumulant process | - |
dc.subject | robust filters | - |
dc.subject | integral representation | - |
dc.title | Option pricing and filtering with hidden Markov-Modulated pure-jump processes | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.1080/1350486X.2012.655929 | - |
pubs.publication-status | Published | - |
Appears in Collections: | Aurora harvest 4 Mathematical Sciences publications |
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