A note on differentiability in a Markov chain market using stochastic flows

DOI10.1080/07362994.2014.975359zbMATHOpenAlexMaRDI QIDQ4981997FDO

Authors Robert J. Elliott, Tak Kuen Siu

Publication date 23 March 2015

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2014.975359

zbMATH Keywords

differentiabilityhedgingstochastic flowsMarkov chain market

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• A partially observed control problem for Markov chains
• A time‐continuous markov chain interest model with applications to insurance
• ATTAINABLE CLAIMS IN A MARKOV MARKET
• American option prices in a Markov chain market model
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• Attainable contingent claims in a Markovian regime-switching market
• Cauchy problem for stochastic partial differential equations arizing in nonlinear filtering theory
• Characteristic functions and option valuation in a Markov chain market
• DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS¹
• Filtering with discrete state observations
• Martingale representation and hedging policies
• Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
• Mathematics of financial markets.
• On backward stochastic differential equations
• On pricing and hedging options in regime-switching models with feedback effect
• Option pricing and hedge portfolios for poisson progresses
• Pricing and hedging contingent claims with regime switching risk
• Stochastic models in life insurance. Translation from the 2nd German edition.
• The Markov Chain Market

Cited in

(4)

• scientific article; zbMATH DE number 5637982 (Why is no real title available?)
• On a Markov chain approximation method for option pricing with regime switching
• Hedging options in a doubly Markov-modulated financial market via stochastic flows
• The Markov Chain Market

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