Closed-Form Formula for the Conditional Moment-Generating Function Under a Regime-Switching, Nonlinear Drift CEV Process, with Applications to Option Pricing

Closed-Form Formula for the Conditional Moment-Generating Function Under a Regime-Switching, Nonlinear Drift CEV Process, with Applications to Option Pricing

An analytical derivation of the conditional moment-generating function (MGF) for a regime-switching nonlinear drift constant elasticity of variance process is established. The proposed model incorporates both regime-switching mechanisms and nonlinear drift components to better capture market phenome...

Full description

Bibliographic Details
Main Authors: Kittisak Chumpong, Khamron Mekchay, Fukiat Nualsri, Phiraphat Sutthimat
Format: Article
Language:English
Published: MDPI AG 2024-08-01
Series:Mathematics
Subjects:
nonlinear drift CEV process
regime switching
moment-generating function
option pricing
analytically pricing
CIR process
Online Access:https://www.mdpi.com/2227-7390/12/17/2667

Internet

https://www.mdpi.com/2227-7390/12/17/2667

Similar Items