Asset Prices With Regime-Switching Variance Gamma Dynamics

@inproceedings{Royal2009AssetPW,
  title={Asset Prices With Regime-Switching Variance Gamma Dynamics},
  author={A. Royal and Robert J. R. Elliott},
  year={2009}
}
Abstract Recently, Elliott and Osak we have discussed option pricing when the price process has dynamics described by a regime-switching Levy process. The regime switching is determined by an observable Markov chain. In this chapter, a related framework is considered, but the regime-switching chain is not observed directly. Its state and dynamics can only be estimated using some new filters. The results are tested empirically for option prices using S&P data.