Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance

DOI10.1080/14697688.2017.1288297zbMath1402.91820OpenAlexW2739398378MaRDI QIDQ4555162

Sharon S. Yang, Chou-Wen Wang, Jr-Wei Huang

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1288297

zbMATH Keywords

regime switching modelequity-linked insuranceVaRgeneralized hyperbolic processCTE

Mathematics Subject Classification ID

Related Items (3)

A generalized Esscher transform for option valuation with regime switching risk ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Option pricing in regime-switching frameworks with the extended Girsanov principle

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