LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL

DOI10.1142/S0219024915500338zbMath1337.91106OpenAlexW1190525645MaRDI QIDQ2947346

Romuald Hervé Momeya, Olivier Menoukeu Pamen

Publication date: 22 September 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024915500338

zbMATH Keywords

Lévy processpartial informationregime-switchinghedging strategylocal risk-minimizationintegral representation theorem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items

Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization

Cites Work

• Unnamed Item
• BSDEs under partial information and financial applications
• Option pricing and Esscher transform under regime switching
• Option pricing for pure jump processes with Markov switching compensators
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• Pricing participating products under a generalized jump-diffusion model
• Option hedging for semimartingales
• Characterization of stochastic processes with conditionally independent increments
• An application of hidden Markov models to asset allocation problems
• Filtering with discrete state observations
• Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model
• Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS¹
• RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
• Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
• Markov Processes with Homogeneous Second Component. I
• On Square Integrable Martingales
• Markov additive processes. I
• Markov additive processes. II