Option pricing for GARCH models with Markov switching

International Journal of Theoretical and Applied Finance

Volumn 9, Issue 6, 2006, Pages 825-841

  Elliott, Robert J ^a   Siu, Tak Kuen ^b   Chan, Leunglung ^c  

^a UNIVERSITY OF CALGARY   (Canada)

^b HERIOT WATT UNIVERSITY   (United Kingdom)

^c UNIVERSITY OF CALGARY   (Canada)

Author keywords

Analytical option valuation; Markov switching conditional Esscher transform; Markov switching Heston Nandi's GARCH model; Recursive formula

Indexed keywords

EID: 33747833678     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024906003846     Document Type: Article

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