Risk Minimizing Option Pricing in a Regime Switching Market

DOI10.1080/07362990701857194zbMATH Open1133.91415OpenAlexW2023946479MaRDI QIDQ5459758FDOQ5459758

Authors: Amogh Deshpande, Mrinal K. Ghosh 

Publication date: 29 April 2008

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

Full work available at URL: https://doi.org/10.1080/07362990701857194

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zbMATH Keywords

Black-Scholes equationsminimal martingale measureregime switching marketrisk minimizing option price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70)

Cites Work

• Ergodic Control of Switching Diffusions
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Title not available (Why is that?)
• Robust parameter estimation for asset price models with Markov modulated volatilities
• Option Pricing With Markov-Modulated Dynamics
• Explicit solutions to European options in a regime-switching economy
• Constrained stochastic estimation algorithms for a class of hybrid stock market models
• European option pricing when the riskfree interest rate follows a jump process
• Risk-neutral valuation: Pricing and hedging of financial derivatives

Cited In (27)

• RISKY OPTIONS SIMPLIFIED
• Title not available (Why is that?)
• Risk Minimizing Option Pricing in a Semi-Markov Modulated Market
• Regime recovery using implied volatility in Markov modulated market model
• On pricing and hedging options in regime-switching models with feedback effect
• Good-deal bounds in a regime-switching diffusion market
• A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy
• Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model
• Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization
• Shortfall risk minimization in a discrete regime switching model
• Asymptotic stability of semi-Markov modulated jump diffusions
• Asymptotic analysis of option pricing in a Markov modulated market
• Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
• On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
• Pricing defaultable bonds in a Markov modulated market
• Option pricing in a regime switching stochastic volatility model
• Hedging of contingent claims written on non traded assets under Markov-modulated models
• A system of non-local parabolic PDE and application to option pricing
• Pricing derivatives in a regime switching market with time inhomogenous volatility
• Option-based risk management of a bond portfolio under regime switching interest rates
• Regime-switching risk: to price or not to price?
• Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models
• Convergence of estimated option price in a regime switching market
• An empirical comparison of two stochastic volatility models using Indian market data
• Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model
• Local risk minimizing option in a regime-switching double Heston model
• Option pricing under regime-switching models: novel approaches removing path-dependence

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