Risk measures for derivatives with Markov-modulated pure jump processes

DOI10.1007/s10690-007-9038-9zbMath1283.91173MaRDI QIDQ2643673

Robert J. Elliott, Tak Kuen Siu, Leunglung Chan

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 options; coherent risk measures; jump risk; exotic options; Esscher transform; pure jump processes; regime-switching HJB equations; combined optimal stopping and control; HJB-variational inequalities

Mathematics Subject Classification ID

60J60: Diffusion processes

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

60J28: Applications of continuous-time Markov processes on discrete state spaces

Related Items

Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes, A functional Itô's calculus approach to convex risk measures with jump diffusion, Portfolio risk minimization and differential games, A game theoretic approach to option valuation under Markovian regime-switching models, On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy, Lower and upper pricing of financial assets

Uses Software

• RiskMetrics

Cites Work

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