Risk Minimizing Option Pricing in a Semi-Markov Modulated Market

DOI10.1137/080716839zbMATH Open1193.91155OpenAlexW1987709497MaRDI QIDQ3566975FDOQ3566975

Authors: Mrinal K. Ghosh, Anindya Goswami 

Publication date: 10 June 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080716839

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zbMATH Keywords

Black-Scholes equationsminimal martingale measurelocally risk minimizing option pricesemi-Markov modulated market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Markov renewal processes, semi-Markov processes (60K15)

Cited In (32)

• THE DYNAMIC PRICING FOR CALLABLE SECURITIES WITH MARKOV-MODULATED PRICES
• Asymptotic stability in distribution of stochastic systems with semi-Markovian switching
• Almost surely exponential stability of semi‐Markovian switched singular stochastic systems with mode‐dependent ranks
• Dynamic programming for semi-Markov modulated SDEs
• Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes
• Stabilization for switched stochastic systems with semi-Markovian switching signals and actuator saturation
• A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process
• Finite-time stability and asynchronous resilient control for Itô stochastic semi-Markovian jump systems
• Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization
• On the monotonicity and constancy of signs of some rational explicit methods for nonlinear systems of ordinary differential equations
• Title not available (Why is that?)
• Asymptotic stability of semi-Markov modulated jump diffusions
• Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility
• Asymptotic analysis of option pricing in a Markov modulated market
• Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
• Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets
• Option pricing in a regime switching stochastic volatility model
• Semimartingale representation of a class of semi-Markov dynamics
• Title not available (Why is that?)
• Stochastic Processes with Age-Dependent Transition Rates
• A system of non-local parabolic PDE and application to option pricing
• Pricing derivatives in a regime switching market with time inhomogenous volatility
• Convergence of estimated option price in a regime switching market
• Stability of stochastic functional differential systems with semi-Markovian switching and Lévy noise by functional Itô's formula and its applications
• Inference of binary regime models with jump discontinuities
• Option pricing with a Lévy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations
• Risk Minimizing Option Pricing in a Regime Switching Market
• Efficient option risk measurement with reduced model risk
• Optimal control of Markov processes with age-dependent transition rates
• Stability analysis of semi-Markov switched stochastic systems
• Threshold dynamics and ergodicity of an SIRS epidemic model with semi-Markov switching
• Locally risk minimizing pricing of Asian option in a semi-Markov modulated market

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