Pricing and hedging contingent claims with regime switching risk

DOI10.4310/CMS.2011.V9.N2.A6zbMATH Open1216.91032MaRDI QIDQ548447FDOQ548447

Authors: Robert J. Elliott, Tak Kuen Siu

Publication date: 28 June 2011

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.cms/1305034463

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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)

Cited In (24)

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

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