Option Pricing for Pure Jump Processes with Markov Switching Compensators

Robert Elliott () and Carlton-James Osakwe ()

Finance and Stochastics, 2006, vol. 10, issue 2, 250-275

Keywords: Jump process; Markov switching; Compensator; Characteristic function; European options; Hedging; 91B28; 60G10; 60G44; 60G51; G12; G13; D52 (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s00780-006-0004-6

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