Lookback option pricing for regime-switching jump diffusion models
نویسندگان
چکیده
منابع مشابه
Option Pricing in a Jump-diffusion Model with Regime Switching
Nowadays, the regime switching model has become a popular model in mathematical finance and actuarial science. The market is not complete when the model has regime switching. Thus, pricing the regime switching risk is an important issue. In Naik (1993), a jump diffusion model with two regimes is studied. In this paper, we extend the model of Naik (1993) to a multi-regime case. We present a trin...
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ژورنال
عنوان ژورنال: Mathematical Control and Related Fields
سال: 2015
ISSN: 2156-8472
DOI: 10.3934/mcrf.2015.5.237