{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T06:56:07Z","timestamp":1761807367441,"version":"3.37.3"},"reference-count":25,"publisher":"Informa UK Limited","license":[{"start":{"date-parts":[[2007,10,8]],"date-time":"2007-10-08T00:00:00Z","timestamp":1191801600000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/3.0\/"}],"funder":[{"name":"Research Grants Council of the Hong Kong Special Administrative Region, China","award":["7017\/07P"],"award-info":[{"award-number":["7017\/07P"]}]},{"DOI":"10.13039\/501100003803","name":"University of Hong Kong","doi-asserted-by":"publisher","award":["7017\/07P"],"award-info":[{"award-number":["7017\/07P"]}],"id":[{"id":"10.13039\/501100003803","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Applied Mathematics and Decision Sciences"],"published-print":{"date-parts":[[2007,10,8]]},"abstract":"<jats:p>We consider the pricing of exotic options when the price dynamics of the underlying\n         risky asset are governed\nby a discrete-time Markovian regime-switching process driven by an observable, high-order\n Markov model (HOMM). We assume that the market interest rate, the drift, and the volatility \n of the underlying risky asset's return switch over time according to the states of the \n HOMM, which are interpreted as the states of an economy. We will then employ the well-known\n  tool in actuarial science, namely, the Esscher transform to determine an equivalent martingale \n  measure for option valuation. Moreover, we will also investigate the impact of the high-order \n  effect of the states of the economy on the prices of some path-dependent exotic options, such \n  as Asian options, lookback options, and barrier options.<\/jats:p>","DOI":"10.1155\/2007\/18014","type":"journal-article","created":{"date-parts":[[2007,10,11]],"date-time":"2007-10-11T13:24:51Z","timestamp":1192109091000},"page":"1-15","source":"Crossref","is-referenced-by-count":15,"title":["Pricing Exotic Options under a High-Order Markovian Regime Switching Model"],"prefix":"10.1080","volume":"2007","author":[{"given":"Wai-Ki","family":"Ching","sequence":"first","affiliation":[]},{"given":"Tak-Kuen","family":"Siu","sequence":"additional","affiliation":[]},{"given":"Li-Min","family":"Li","sequence":"additional","affiliation":[]}],"member":"301","reference":[{"doi-asserted-by":"publisher","key":"1","DOI":"10.2307\/1912559"},{"doi-asserted-by":"publisher","key":"2","DOI":"10.2307\/1392087"},{"doi-asserted-by":"publisher","key":"3","DOI":"10.1016\/0304-4076(94)90067-1"},{"doi-asserted-by":"publisher","key":"4","DOI":"10.1016\/0304-405X(96)00875-6"},{"doi-asserted-by":"publisher","key":"5","DOI":"10.1007\/s001810100100"},{"doi-asserted-by":"publisher","key":"6","DOI":"10.1198\/073500102317351930"},{"doi-asserted-by":"publisher","key":"7","DOI":"10.1016\/S0165-1889(01)00042-2"},{"doi-asserted-by":"publisher","key":"8","DOI":"10.1093\/rfs\/15.4.1137"},{"doi-asserted-by":"publisher","key":"9","DOI":"10.1016\/0167-2231(89)90006-7"},{"doi-asserted-by":"publisher","key":"10","DOI":"10.1016\/S0927-5398(97)00015-7"},{"doi-asserted-by":"publisher","key":"11","DOI":"10.2307\/2329076"},{"issue":"1","key":"12","doi-asserted-by":"crossref","first-page":"38","DOI":"10.1080\/713665550","volume":"1","year":"2001","journal-title":"Quantitative Finance"},{"key":"13","series-title":"Lecture Notes in Control and Information Sciences","first-page":"73","volume-title":"Regime switching and European options","volume":"280","year":"2002"},{"doi-asserted-by":"publisher","key":"14","DOI":"10.1142\/S0219024902001523"},{"doi-asserted-by":"publisher","key":"15","DOI":"10.1007\/s10436-005-0013-z"},{"doi-asserted-by":"publisher","key":"16","DOI":"10.1016\/S0165-1889(97)00052-3"},{"key":"17","first-page":"99","volume":"46","year":"1994","journal-title":"Transactions of the Society of Actuaries"},{"issue":"2","key":"18","doi-asserted-by":"crossref","first-page":"171","DOI":"10.2143\/AST.28.2.519064","volume":"28","year":"1998","journal-title":"ASTIN Bulletin"},{"doi-asserted-by":"publisher","key":"19","DOI":"10.1016\/0304-4149(81)90026-0"},{"doi-asserted-by":"publisher","key":"20","DOI":"10.1016\/0304-4149(83)90038-8"},{"volume-title":"Arbitrage","year":"1987","first-page":"57","key":"21"},{"doi-asserted-by":"publisher","key":"22","DOI":"10.1016\/0304-4068(91)90014-K"},{"doi-asserted-by":"publisher","key":"23","DOI":"10.1007\/BF01450498"},{"year":"2002","key":"24"},{"doi-asserted-by":"publisher","key":"25","DOI":"10.1080\/00207390412331271302"}],"container-title":["Journal of Applied Mathematics and Decision Sciences"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/archive\/2007\/018014.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/archive\/2007\/018014.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,8,8]],"date-time":"2024-08-08T14:23:34Z","timestamp":1723127014000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.hindawi.com\/journals\/ads\/2007\/018014\/abs\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2007,10,8]]},"references-count":25,"alternative-id":["018014","18014"],"URL":"https:\/\/doi.org\/10.1155\/2007\/18014","relation":{},"ISSN":["1173-9126","1532-7612"],"issn-type":[{"type":"print","value":"1173-9126"},{"type":"electronic","value":"1532-7612"}],"subject":[],"published":{"date-parts":[[2007,10,8]]}}}