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
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
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
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