Pricing and hedging contingent claims with regime switching risk

contingent claims American options hedging stochastic flows valuation Asian options zero-coupon bonds martingale reprentationes product density processes regime switching risk residual risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(24)

An analytic valuation method for multivariate contingent claims with regime-switching volatilities
Markovian forward-backward stochastic differential equations and stochastic flows
Pricing and hedging contingent claims using variance and higher order moment swaps
Construction of mean-self-financing strategies for European options under regime-switching
Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model
Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
Hedging of defaultable claims in a Markov regime-switching model
Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
Regime-switching risk: to price or not to price?
Markovian regime-switching market completion using additional Markov jump assets
A note on differentiability in a Markov chain market using stochastic flows
A hidden Markov-modulated jump diffusion model for European option pricing
Hedging options in a doubly Markov-modulated financial market via stochastic flows
Martingale representation for contingent claims with regime switching
On the price of risk under a regime switching CGMY process
Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
On pricing and hedging options in regime-switching models with feedback effect
Attainable contingent claims in a Markovian regime-switching market
A risk-based approach for pricing American options under a generalized Markov regime-switching model
Pricing and hedging performance on pegged FX markets based on a regime switching model
Smart Indexing Under Regime-Switching Economic States
Utility-based indifference pricing in regime-switching models
Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models

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