Option pricing and hedging under a Markov switching Lévy process model

DOI10.13371/J.CNKI.CHIN.Q.J.M.2017.01.008zbMATH Open1424.91136MaRDI QIDQ4623784FDOQ4623784

Authors: Ruili Song, Bo Wang 

Publication date: 22 February 2019

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zbMATH Keywords

option pricinghedgingMarkov chain modelLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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• Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises
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• Optimal hedging when the underlying asset follows a regime-switching Markov process
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• Swing options in commodity markets: a multidimensional Lévy diffusion model
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