Graduate Thesis Or Dissertation

 

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

Contenuto scaricabile

Scarica il pdf
https://ir.library.oregonstate.edu/concern/graduate_thesis_or_dissertations/cv43p009v

Descriptions

Attribute NameValues
Creator
Abstract
  • 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.
License
Resource Type
Date Available
Date Issued
Degree Level
Degree Name
Degree Field
Degree Grantor
Commencement Year
Advisor
Committee Member
Academic Affiliation
Non-Academic Affiliation
Subject
Dichiarazione dei diritti
Publisher
Peer Reviewed
Language
Replaces

Le relazioni

Parents:

This work has no parents.

In Collection:

Elementi