Local risk minimizing option in a regime-switching double Heston model

MaRDI QIDQ4609299zbMATH OpenFDO

Authors S. Namazi, E. Dastranj

Publication date 29 March 2018

zbMATH Keywords

Markov chainHeston modelminimal martingalerisk minimizing option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70)

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Cited in

(3)

• Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
• Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model
• Local risk-minimization under Markov-modulated exponential Lévy model

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