Pricing options under a generalized Markov-Modulated jump-diffusion model

INIS

• assets 100%
• chains 33%
• decomposition 33%
• diffusion 100%
• dynamics 66%
• economy 33%
• exercise 33%
• flexibility 33%
• gaussian processes 33%
• integral equations 33%
• interest rate 33%
• market 100%
• markov process 100%
• mixtures 33%
• modeling 33%
• prices 33%
• randomness 33%
• simulation 33%
• size 33%
• switches 33%
• volatility 33%

Mathematics

• American Option 50%
• Continuous Time Markov Chain 50%
• Diffusion Model 100%
• Equivalent Martingale Measure 50%
• Esscher transform 50%
• Gaussian Process 50%
• Integral Equation 50%
• Inverse Gaussian 50%
• Option Price 50%
• Option Pricing 100%
• Poisson Random Measure 50%
• Risky Asset 100%
• Underlying Asset 50%