Option Pricing and CVaR Hedging in the Regime-Switching Telegraph Market Model

DOI10.1007/978-3-319-06653-0_21zbMath1325.91054OpenAlexW223496102MaRDI QIDQ3193138

Ivan Smirnov, Alexander V. Melnikov

Publication date: 15 October 2015

Published in: EAA Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-06653-0_21

Mathematics Subject Classification ID

Special processes (60K99) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Cites Work

• Nonhomogeneous telegraph processes and their application to financial market modeling
• Dynamic hedging of conditional value-at-risk
• On financial markets based on telegraph processes
• Option pricing when underlying stock returns are discontinuous