HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS

DOI10.1142/S021902491950047XzbMath1431.91404OpenAlexW2988616163WikidataQ126786327 ScholiaQ126786327MaRDI QIDQ5210919

Robert J. Elliott, Tak Kuen Siu

Publication date: 16 January 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491950047x

zbMATH Keywords

hedgingfilteringstochastic flowsEuropean optionsrisk-minimizing hedging strategiesdoubly Markov-modulated models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items

A generalized Esscher transform for option valuation with regime switching risk, Stochastic Flows and Jump-Diffusions, Household consumption-investment-insurance decisions with uncertain income and market ambiguity

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