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

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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

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• 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)

• Hedging options in a doubly Markov-modulated financial market via stochastic flows
• The Markov Chain Market
• Title not available (Why is that?)
• On a Markov chain approximation method for option pricing with regime switching

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