EUROPEAN CONTINGENT CLAIMS VALUATION UNDER REGIME SWITCHING USING THE MELLIN TRANSFORM APPROACH
نویسندگان
چکیده
منابع مشابه
Martingale Representation for Contingent Claims with Regime Switching
We derive a martingale representation for a contingent claim under a Markov-modulated version of the Black-Scholes economy. The martingale representation for the price of the claim is established with respect to an equivalent martingale measure chosen by the Esscher transform. Under some differentiability conditions for the coefficients of the price processes, we shall identify explicitly the i...
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ژورنال
عنوان ژورنال: Journal of the Chungcheong Mathematical Society
سال: 2015
ISSN: 1226-3524
DOI: 10.14403/jcms.2015.28.1.89