A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL

DOI10.1142/S0219024915500235zbMath1337.91095MaRDI QIDQ5265237

Tak Kuen Siu, Robert J. Elliott, Leunglung Chan

Publication date: 23 July 2015

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

zbMATH Keywords

forward equationsEsscher transformregime-switching adjoint formularegime-switching local volatility model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

How should a local regime-switching model be calibrated? ⋮ VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING ⋮ Fitted finite volume method for indifference pricing in an exponential utility regime-switching model ⋮ Generalisation of Hajek's stochastic comparison results to stochastic sums ⋮ A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows

Cites Work

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• AMERICAN OPTIONS WITH REGIME SWITCHING
• FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
• The variational principle and stochastic optimal control
• Stochastic Differential Equations with Markovian Switching

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