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

Mathematics

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