Option pricing and Esscher transform under regime switching

Robert J. Elliott (), Leunglung Chan and Tak Kuen Siu

Annals of Finance, 2005, vol. 1, issue 4, 423-432

Keywords: Option pricing; Regime switching; Hidden Markov chain model; Esscher transform; MEMM; G13 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (155)

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DOI: 10.1007/s10436-005-0013-z

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