We investigate the valuation of exchange options when the market is affected by changing
economic conditions as well as liquidity risks. The volatility and expected returns of both …

The valuation of a European-style contingent claim is discussed in a hidden Markov regime-
switching jump-diffusion market, where the evolution of a hidden economic state process …

This paper determines strike prices of discretely sampled variance/volatility swaps taking
into account stochastic liquidity risks and the switching of economic conditions. We adopt …

A self-exciting threshold jump–diffusion model for option valuation is studied. This model
can incorporate regime switches without introducing an exogenous stochastic factor …

The hedging of a European-style contingent claim is studied in a continuous-time doubly
Markov-modulated financial market, where the interest rate of a bond is modulated by an …

In this paper we discuss an option pricing problem in a hidden Markovian regime-switching
model with a stochastic interest rate and volatility. Regime switches are attributed to …

A generalized Esscher transform is introduced for option valuation in a Markov regime-
switching model. It is intended that the generalized Esscher transform might provide novel …

The hedging of European contingent claims in a continuous‐time hidden Markov‐regime‐
switching diffusion model is discussed using stochastic flows of diffeomorphisms and Monte …

In this article, we discuss the pricing of dynamic fund protection when the value process of
the investment fund is governed by a geometric Brownian motion with parameters …

By utilizing information about prices and trading volumes, we discuss the pricing of
European contingent claims in a continuous-time hidden regime-switching environment …