{"entities":{"Q655231":{"pageid":657080,"ns":120,"title":"Item:Q655231","lastrevid":51394661,"modified":"2026-01-18T01:47:23Z","type":"item","id":"Q655231","labels":{"en":{"language":"en","value":"Regime-switching risk: to price or not to price?"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5994165"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$50BF15A9-AC33-4E76-B33D-1A6DD2A24FB9","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"5275d6cda028c5d4cf72ccf8aa3be2c087cd79c2","datavalue":{"value":{"text":"Regime-switching risk: to price or not to price?","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q655231$F97B1877-6795-41FF-B028-8B32921CF619","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"114f01604c2e75a60826fd7d371aa773b86cd200","datavalue":{"value":"1230.91203","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q655231$3B18F384-AE68-4EA7-8460-25E1C94E9E70","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"0643503ee8e5981c9f32072bf6241388574e9793","datavalue":{"value":"10.1155/2011/843246","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q655231$B2BAE7CD-7DF6-462B-AAA2-E49A8C2EE0FF","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"59b962123c71de5872947521277cfed551d9b2a8","datavalue":{"value":{"entity-type":"item","numeric-id":274850,"id":"Q274850"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$450C2203-4C92-4667-9508-12ED91A4034A","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"99db6d79d0a78969e4631ff58d3211b28610ca6e","datavalue":{"value":{"entity-type":"item","numeric-id":274829,"id":"Q274829"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$28B82332-8C85-436E-B2C6-CA0B3EFD7D13","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"871362ac18f9a189e8200fce4532cbdae8066779","datavalue":{"value":{"time":"+2012-01-03T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q655231$44CDBFF7-90C7-491F-9CD8-027D7E559581","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"d86cc264e9d43ed5bc1e60fa0742311ad5c75235","datavalue":{"value":"Summary: Should the regime-switching risk be priced? This is perhaps one of the important ``normative'' issues to be addressed in pricing contingent claims under a Markovian, regime-switching, Black-Scholes-Merton model. We address this issue using a minimal relative entropy approach. Firstly, we apply a martingale representation for a double martingale to characterize the canonical space of equivalent martingale measures which may be viewed as the largest space of equivalent martingale measures to incorporate both the diffusion risk and the regime-switching risk. Then we show that an optimal equivalent martingale measure over the canonical space selected by minimizing the relative entropy between an equivalent martingale measure and the real-world probability measure does not price the regime-switching risk. The optimal measure also justifies the use of the Esscher transform for option valuation in the regime-switching market.","type":"string"},"datatype":"string"},"type":"statement","id":"Q655231$AB3FDFE8-FD92-40DC-97D0-7A613F9E6232","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"9fa3e81bd1d73482efe437e765d72accba82d844","datavalue":{"value":"91G80","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q655231$93FC9ADE-A929-4570-8851-0304A3307A88","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"e54dfc2ecddf296ea542bd5ed5f10672d6b15158","datavalue":{"value":"91B30","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q655231$ABFE72EE-06A8-4C93-97E7-E54C89CED5F7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q655231$FDA9118C-1FEA-45C0-BDF0-54AAB356E149","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"827593f9afd5bb36668bdc11f56265c95b6a350a","datavalue":{"value":"5994165","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q655231$9EC61DFD-F056-4801-9DE2-7D58F1C6A3AD","rank":"normal"}],"P12":[{"mainsnak":{"snaktype":"value","property":"P12","hash":"812dc8f8b38631ba4712cc31dc987e3a590b1dbd","datavalue":{"value":"Q58688948","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q655231$E0B9542C-0170-44DD-8F36-7A1C6CFFA7B0","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$3EC397C7-ACC6-4649-A14A-A5C4AB8CC5D6","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"edc45382b3abfb32dd5cbc5ca7958d0eae100d24","datavalue":{"value":"https://doi.org/10.1155/2011/843246","type":"string"},"datatype":"url"},"type":"statement","id":"Q655231$A3EF9769-F896-483A-AD21-319E0EA9D1F6","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"50d0e542d5c00c8deb2088eb4439ea004e69a682","datavalue":{"value":"W2012383489","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q655231$27E5649D-23FE-451E-BA9C-018A98C2AA1F","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"0e090cab985605d5abfc36233798766c3cf5710f","datavalue":{"value":{"entity-type":"item","numeric-id":5726160,"id":"Q5726160"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$2A1687CE-6E19-4646-BB14-E0E7119D1B89","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e63b2bcd5b1801ad234eb5cd54124de6cb679b62","datavalue":{"value":{"entity-type":"item","numeric-id":1212765,"id":"Q1212765"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$BA6321F1-CE8D-4C47-B7AB-E68E133B2BB7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"2c2afc39f2e79ffa4c6259c8a3f6f0d9729ff3d2","datavalue":{"value":{"entity-type":"item","numeric-id":3893184,"id":"Q3893184"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$883F779A-3CA2-4494-BAA5-69E88882A2FA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"c19bcd2bfcf7f5ff0ec62eddb21944353aedf940","datavalue":{"value":{"entity-type":"item","numeric-id":4203680,"id":"Q4203680"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$5618311E-88F1-4EA7-AABC-75948B427878","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"2b3026bc48c3e24ad99c69c3eb1cb2c1bce80dea","datavalue":{"value":{"entity-type":"item","numeric-id":3022058,"id":"Q3022058"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$F1B82C6A-B935-47D0-9305-437F4A0996DD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"2dd4a320a44c11182244a17d69bb084fa9f25335","datavalue":{"value":{"entity-type":"item","numeric-id":665552,"id":"Q665552"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$D874011C-7FD9-49B0-B9D6-0BB662C5C31C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"d384c116a4ee9f79428e7bc8cef7b3d550223e65","datavalue":{"value":{"entity-type":"item","numeric-id":817287,"id":"Q817287"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$8B325DE6-0BC6-4F1E-A2D5-7AEE2BF173E4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6563534149598e8591c32b58ed20fa5ddc353c05","datavalue":{"value":{"entity-type":"item","numeric-id":931215,"id":"Q931215"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$DB65FD76-D1D2-4A22-B5D8-702C53799E12","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"45084629a02235e57260b81f13529756e080bcbd","datavalue":{"value":{"entity-type":"item","numeric-id":1036916,"id":"Q1036916"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$8FCD1814-E4E7-4987-94BF-6001CB470BCB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"4e1ad5715019f0363001ee5ce7ed1855d85912d8","datavalue":{"value":{"entity-type":"item","numeric-id":548447,"id":"Q548447"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$78B0DD1A-56FB-47B6-B4BC-945478D4A1EC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"849efe1b8785fc6e4ec78ee572d6ba02e674a20e","datavalue":{"value":{"entity-type":"item","numeric-id":633323,"id":"Q633323"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$10D9B9CE-2E78-470F-B67B-544AED2610DD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"05b757930189ff72f449b9f9dad4a7865d3f627d","datavalue":{"value":{"entity-type":"item","numeric-id":5452379,"id":"Q5452379"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$2BC3F964-83DC-4A8B-9034-3898E3FA20F6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6ae50efb2e3c9c6255d8c7a7f4feaeadca39cf2a","datavalue":{"value":{"entity-type":"item","numeric-id":4064790,"id":"Q4064790"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$484039B2-3A62-4A72-9A0F-B6FE2D12225C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"22fbcdebe4c3285feb29c6ff019ae3a36299bf18","datavalue":{"value":{"entity-type":"item","numeric-id":4323296,"id":"Q4323296"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$EF017ACC-C819-4FFC-BC3C-4BEA3051162D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"8eb6a8bdb5ec77685ea42630bfcf668efefe6b88","datavalue":{"value":{"entity-type":"item","numeric-id":4105052,"id":"Q4105052"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$0A4E402D-3CAE-48BF-8B6C-BC0B03C5BB6F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a870243a206d513546fc876630c16a301c3dfc88","datavalue":{"value":{"entity-type":"item","numeric-id":1138469,"id":"Q1138469"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$37BE6957-1D62-4D67-95AB-B16C53CD6D2E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"4d4bbbc4a48fd76d01eefdcaade94f274721b2d8","datavalue":{"value":{"entity-type":"item","numeric-id":1162768,"id":"Q1162768"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$FF9DCC55-7809-47AC-9102-A45160D01DB0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9d63500158e9db8e78dc8073251a79be178570be","datavalue":{"value":{"entity-type":"item","numeric-id":1838779,"id":"Q1838779"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$8EBD49F5-AAD9-46AE-B055-5B273262A95C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"251ec0348ddb1f70bcab38770ae25450de69d19f","datavalue":{"value":{"entity-type":"item","numeric-id":1340170,"id":"Q1340170"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$D65F4EDD-F592-44ED-A6A3-0E3AAFCF5B3B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e53ff37bdf6066fba17bba4b49bd87e8f20fdf52","datavalue":{"value":{"entity-type":"item","numeric-id":1271229,"id":"Q1271229"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$7D1C1E76-1AF0-4D53-AFA3-F1520BB010E9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a9e363d689259ab23e8ebbfac2a664e7596b849f","datavalue":{"value":{"entity-type":"item","numeric-id":3999154,"id":"Q3999154"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$C368CA10-D825-4766-A14B-ADF5B91A1196","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6f973515990a144b81830283282bcc95845bf3a9","datavalue":{"value":{"entity-type":"item","numeric-id":4497382,"id":"Q4497382"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$F73378AD-B516-41BA-B1B4-152BC9B67855","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"011deb6bf6a95e1b1c26141fc520228d43171bd6","datavalue":{"value":{"entity-type":"item","numeric-id":4221330,"id":"Q4221330"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$49ADF1E9-4040-4477-A228-F61BBF30CCF3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"312e272094d77d97d07d5c6661ff5f234468a04d","datavalue":{"value":{"entity-type":"item","numeric-id":1000475,"id":"Q1000475"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$803A9A45-BB2D-41B3-8F1B-4C2887611FF0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"adbb09bb0362b17c52c660398fd05335df78c7ad","datavalue":{"value":{"entity-type":"item","numeric-id":1415423,"id":"Q1415423"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$3C806216-7E41-4FA2-B7A9-3D204C25A408","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"76960d2cdf43daf804a64b39ed3d3d674ffab064","datavalue":{"value":{"entity-type":"item","numeric-id":1424723,"id":"Q1424723"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$777583E1-6F75-4E9E-99D1-8418636CB086","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9b43aa10d10553cd9b0f20ff433ba6d4b85e79c6","datavalue":{"value":{"entity-type":"item","numeric-id":3969647,"id":"Q3969647"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q655231$8548B091-BAD3-48D2-8271-780CAE0DE646","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"b14fdfa7ee1b7e1502f268e1e08e43e08353cbe7","datavalue":{"value":{"entity-type":"item","numeric-id":1036916,"id":"Q1036916"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"4c71adf3e95cf8aeb3f7ee62ca30f4bd4de10a95","datavalue":{"value":{"amount":"+0.8852503895759583","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q655231$C2C6CCAC-D669-478B-962C-674B6CC98A64","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"3d0d78d4d077100e5a7bc13172d36784dfba7f69","datavalue":{"value":{"entity-type":"item","numeric-id":5079361,"id":"Q5079361"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"ccbd7954fefb19e88152b12cd07d93e16a780ebd","datavalue":{"value":{"amount":"+0.8436204195022583","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q655231$570EC12D-01CC-4455-B37A-C16AE2B4E70A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"96ea6e6569edc77578903cf10df7b99f91da6a5b","datavalue":{"value":{"entity-type":"item","numeric-id":665552,"id":"Q665552"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"11b92ba17666245525dea7daa0bd5e19ec8c8622","datavalue":{"value":{"amount":"+0.8421451449394226","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q655231$418DD0DE-47E1-4064-845A-956ECCD99A3F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"19bfddec39a6fe747129dc5ce0dd41c189932603","datavalue":{"value":{"entity-type":"item","numeric-id":5459758,"id":"Q5459758"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"8284d027c251ba6db322a62ba496b2e735731390","datavalue":{"value":{"amount":"+0.840397834777832","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q655231$790148B6-36F5-46DD-BFBD-4F2FBDEAA2F0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"fc56a29858b2052f07ffedab8522d5d5824e8895","datavalue":{"value":{"entity-type":"item","numeric-id":548447,"id":"Q548447"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"45de6d05ca89a9818541e4d5f273cdfa6df88cc5","datavalue":{"value":{"amount":"+0.8341394066810608","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q655231$4BC46A4E-EA03-4916-81F5-BFD8D181E85F","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:655231","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:655231"}}}}}