Risk measures for derivatives with Markov-modulated pure jump processes

DOI10.1007/s10690-007-9038-9zbMath1283.91173OpenAlexW2046116248MaRDI 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 optionscoherent risk measuresjump riskexotic optionsEsscher transformpure jump processesregime-switching HJB equationscombined optimal stopping and controlHJB-variational inequalities

Mathematics Subject Classification ID

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

Related Items (6)

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

Uses Software

• RiskMetrics

Cites Work

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