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Masi, G., Kabanov, Y. and Runggaldier, W. (1994) Mean-Variance Hedging of Options on Stocks with Markov Volatility. Theory of Probability and Its Applications, 39, 173-181.

has been cited by the following article:

• TITLE: Option Pricing with Markov Switching in Uncertainty Markets

  AUTHORS: Guoshuai Wang, Dianli Zhao

  KEYWORDS: Uncertainty Theory, Markov Process, Laplace Transform, Put-Call Parity, Option Pricing

  JOURNAL NAME: Open Journal of Applied Sciences, Vol.5 No.5, May 12, 2015

  ABSTRACT: In this paper, we present a stock model with Markov switching in the uncertainty markets, where the parameters of drift and volatility change according to the states of a Markov process. To price the option, we firstly establish a risk-neutral probability based on the uncertain measure given by Liu. Then a closed form of the European option pricing formula is obtained by applying the Laplace transforms and the inverse Laplace transforms.