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Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1187543
Description: This article discusses option pricing in a Markov regime-switching model with a random acceleration for the volatility. A key feature of the model is that the volatility of the underlying risky securi ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/357261
Description: A forward equation, which is also called the Dupire formula, is obtained for European call options when the price dynamics of the underlying risky assets are assumed to follow a regime-switching local ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/360720
Description: By utilizing information about prices and trading volumes, we discuss the pricing of European contingent claims in a continuous-time hidden regime-switching environment. Hidden market sentiments descr ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1045526
Description: This paper is concerned with the valuation of equity-linked annuities with mortality risk under a double regime-switching model, which provides a way to endogenously determine the regime-switching ris ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/287162
Description: We propose a model for valuing ruin contingent life annuities under the regime-switching variance gamma process. The Esscher transform is employed to determine the equivalent martingale measure. The P ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/213744
Description: 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 describ ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/265528
Description: We propose a model for the valuation of participating life insurance products under a generalized jump-diffusion model with a Markov-switching compensator. The Esscher transform is employed to determi ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/265591
Description: In this paper, we discuss three different approaches to select an equivalent martingale measure for the valuation of contingent claims under a Markovian regime-switching Lévy model. These approaches a ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/163850
Description: Under discrete-time GARCH models markets are incomplete so there is more than one price kernel for valuing contingent claims. This motivates the quest for selecting an appropriate price kernel. Differ ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/134307
Description: We discuss the existence of an admissible investment strategy for any given consumption rate process in a Markov, regime-switching Black-Scholes-Merton economy. A martingale representation for a doubl ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/164933
Description: This article develops an option valuation model in the context of a discrete-time double Markovian regime-switching (DMRS) model with innovations having a generic distribution. The DMRS model is more ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/114662
Description: We investigate two approaches, namely, the Esscher transform and the extended Girsanov’s principle, for option valuation in a discrete-time hidden Markov regime-switching Gaussian model. The model’s p ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/110253
Description: In this paper, we develop an option valuation model in the context of a discrete-time multivariate Markov chain model using the Esscher transform. The multivariate Markov chain provides a flexible way ... More
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Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/211195
Description: This paper develops a valuation model for a perpetual convertible bond when the price dynamics of the underlying share are governed by continuous-time Markovian regime-switching models. We suppose tha ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136340
Description: The Esscher transform is an important tool in actuarial science. Since the pioneering work of Gerber and Shiu (1994), the use of the Esscher transform for option valuation has also been investigated e ... More
Reviewed: Reviewed