Godin, Frédéric; Trottier, Denis-Alexandre Option pricing in regime-switching frameworks with the extended Girsanov principle. (English) Zbl 1467.91185 Insur. Math. Econ. 99, 116-129 (2021). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{F. Godin} and \textit{D.-A. Trottier}, Insur. Math. Econ. 99, 116--129 (2021; Zbl 1467.91185) Full Text: DOI
Godin, Frédéric; Lai, Van Son; Trottier, Denis-Alexandre Option pricing under regime-switching models: novel approaches removing path-dependence. (English) Zbl 1410.91448 Insur. Math. Econ. 87, 130-142 (2019). MSC: 91G20 60G44 60J20 PDFBibTeX XMLCite \textit{F. Godin} et al., Insur. Math. Econ. 87, 130--142 (2019; Zbl 1410.91448) Full Text: DOI Link
François, Pascal; Gauthier, Geneviève; Godin, Frédéric Optimal hedging when the underlying asset follows a regime-switching Markov process. (English) Zbl 1304.91249 Eur. J. Oper. Res. 237, No. 1, 312-322 (2014). MSC: 91G80 91G20 90C15 90C39 PDFBibTeX XMLCite \textit{P. François} et al., Eur. J. Oper. Res. 237, No. 1, 312--322 (2014; Zbl 1304.91249) Full Text: DOI Link