A risk-based approach for pricing American options under a generalized Markov regime-switching model

DOI10.1080/14697688.2011.615215zbMath1277.91169OpenAlexW1985814703MaRDI QIDQ2866377

Tak Kuen Siu, Robert J. Elliott

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.615215

zbMATH Keywords

stochastic differential gamefinancial riskconvex risk measurerisk-based pricingAmerican contingent claimseconomic riskHJBI variational inequalities

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Applications of game theory (91A80) Dynamic programming (90C39) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Dynamic asset–liability management in a Markov market with stochastic cash flows ⋮ A self-exciting threshold jump-diffusion model for option valuation ⋮ Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds ⋮ Regime recovery using implied volatility in Markov modulated market model ⋮ Pricing annuity guarantees under a double regime-switching model ⋮ Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing and Esscher transform under regime switching
• A game theoretic approach to option valuation under Markovian regime-switching models
• Filtering with discrete state observations
• Convex measures of risk and trading constraints
• Risk measures via \(g\)-expectations
• Coherent Measures of Risk
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Convex risk measures and the dynamics of their penalty functions
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS
• Optimal stopping and stochastic control differential games for jump diffusions

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