Valuing options in a discrete time regime switching model with jumps Public Deposited

http://ir.library.oregonstate.edu/concern/graduate_thesis_or_dissertations/cv43p009v

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  • In this work, we provide a detailed analysis of a discrete time regime switching financial market model with jumps. We consider the model under two different scenarios: known and unknown initial regime. For each scenario we investigated conditions that guarantee the model's completeness. We find that the model under consideration is arbitrage-free and complete if the initial regime is known and the jump size satisfies specific condition. Formulae for a unique risk-neutral measure and arbitrage-free pricing of derivative securities are provided. Several numerical examples illustrate no-arbitrage approach to pricing of derivative securities. In the case of incomplete model the Esscher transform is considered to obtain one specific pricing measure. In particular, we show that the Esscher transformed prices are continuously differentiable as a function of the parameters at the interface of incompleteness and completeness.
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  • description.provenance : Approved for entry into archive by Laura Wilson(laura.wilson@oregonstate.edu) on 2014-12-15T23:48:51Z (GMT) No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: bb87e2fb4674c76d0d2e9ed07fbb9c86 (MD5) ChunikhinaEvgeniaV2014.pdf: 588361 bytes, checksum: 83bd26be1a51d7d7a1220ec7702e19e9 (MD5)
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  • description.provenance : Approved for entry into archive by Julie Kurtz(julie.kurtz@oregonstate.edu) on 2014-12-15T21:21:19Z (GMT) No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: bb87e2fb4674c76d0d2e9ed07fbb9c86 (MD5) ChunikhinaEvgeniaV2014.pdf: 588361 bytes, checksum: 83bd26be1a51d7d7a1220ec7702e19e9 (MD5)
  • description.provenance : Submitted by Evgenia Chunikhina (chunikhe@onid.orst.edu) on 2014-12-12T23:59:03Z No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: bb87e2fb4674c76d0d2e9ed07fbb9c86 (MD5) ChunikhinaEvgeniaV2014.pdf: 588361 bytes, checksum: 83bd26be1a51d7d7a1220ec7702e19e9 (MD5)

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