A generalized Esscher transform for option valuation with regime switching risk
在马尔可夫机制转换模型中引入广义Esscher变换，推导新的定价核和鞅条件，为同时定价扩散风险和机制转换风险提供便利方法，并给出数值示例。
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 insights into pricing regime switching risk. A new pricing kernel and the related martingale condition are derived which might provide a convenient way to price both diffusion and regime switching risks. Numerical studies are provided to illustrate the proposed method.