Risk measures for derivatives with Markov-modulated pure jump processes

DOI10.1007/S10690-007-9038-9MaRDI QIDQ2643673zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Leunglung Chan, Tak Kuen Siu

Publication date 27 August 2007

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-007-9038-9

zbMATH Keywords

American optionsEsscher transformcoherent risk measuresexotic optionsjump riskpure jump processesregime-switching HJB equationscombined optimal stopping and controlHJB-variational inequalities

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
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• Coherent measures of risk
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Cited in

(11)

• Lower and upper pricing of financial assets
• A functional Itô's calculus approach to convex risk measures with jump diffusion
• On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
• A PDE approach to risk measures of derivatives
• Portfolio risk minimization and differential games
• A game theoretic approach to option valuation under Markovian regime-switching models
• Risk-based premium evaluation with jump diffusion process for PBGC
• Measure distorted arrival rate risks and their rewards
• A PDE approach for risk measures for derivatives with regime switching
• w-MPS risk aversion and continuous-time MV analysis in presence of Lévy jumps
• Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes

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Uses Software

• RiskMetrics

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