Risk Minimizing Option Pricing in a Regime Switching Market
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Publication:5459758
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Cites work
- scientific article; zbMATH DE number 1055921 (Why is no real title available?)
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Constrained stochastic estimation algorithms for a class of hybrid stock market models
- Ergodic Control of Switching Diffusions
- European option pricing when the riskfree interest rate follows a jump process
- Explicit solutions to European options in a regime-switching economy
- Option Pricing With Markov-Modulated Dynamics
- Risk-neutral valuation: Pricing and hedging of financial derivatives
- Robust parameter estimation for asset price models with Markov modulated volatilities
Cited in
(27)- Option pricing under regime-switching models: novel approaches removing path-dependence
- RISKY OPTIONS SIMPLIFIED
- scientific article; zbMATH DE number 1897416 (Why is no real title available?)
- Risk Minimizing Option Pricing in a Semi-Markov Modulated Market
- On pricing and hedging options in regime-switching models with feedback effect
- A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy
- Regime recovery using implied volatility in Markov modulated market model
- Good-deal bounds in a regime-switching diffusion market
- 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
- Asymptotic stability of semi-Markov modulated jump diffusions
- Shortfall risk minimization in a discrete regime switching model
- 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
- A system of non-local parabolic PDE and application to option pricing
- Option-based risk management of a bond portfolio under regime switching interest rates
- Pricing derivatives in a regime switching market with time inhomogenous volatility
- Hedging of contingent claims written on non traded assets under Markov-modulated models
- 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
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