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

DOI10.1080/07362994.2014.975359zbMATH Open1336.91073OpenAlexW2002338709MaRDI QIDQ4981997FDOQ4981997

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

Recommendations

• The Markov Chain Market
• Hedging options in a doubly Markov-modulated financial market via stochastic flows
• Stochastic calculus of variations in mathematical finance.
• Dynamic Greeks
• Integration by parts and martingale representation for a Markov chain

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)

Cites Work

• Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
• Title not available (Why is that?)
• American option prices in a Markov chain market model
• Martingale representation and hedging policies
• DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS¹
• Pricing and hedging contingent claims with regime switching risk
• On pricing and hedging options in regime-switching models with feedback effect
• Mathematics of financial markets.
• Stochastic models in life insurance. Translation from the 2nd German edition.
• The Markov Chain Market
• A time‐continuous markov chain interest model with applications to insurance
• Cauchy problem for stochastic partial differential equations arizing in nonlinear filtering theory
• On backward stochastic differential equations
• Filtering with discrete state observations
• A partially observed control problem for Markov chains
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• Characteristic functions and option valuation in a Markov chain market
• ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET
• ATTAINABLE CLAIMS IN A MARKOV MARKET
• Option pricing and hedge portfolios for poisson progresses

Cited In (4)

• The Markov Chain Market
• Title not available (Why is that?)
• On a Markov chain approximation method for option pricing with regime switching
• HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS

This page was built for publication: A note on differentiability in a Markov chain market using stochastic flows

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4981997)