Pricing and hedging contingent claims with regime switching risk
DOI10.4310/CMS.2011.V9.N2.A6zbMATH Open1216.91032MaRDI QIDQ548447FDOQ548447
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
contingent claimsAmerican optionshedgingstochastic flowsvaluationAsian optionszero-coupon bondsmartingale reprentationesproduct density processesregime switching riskresidual risk
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cited In (11)
- Smart Indexing Under Regime-Switching Economic States
- A Note on Differentiability in a Markov Chain Market Using 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
- A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing
- Markovian forward-backward stochastic differential equations and stochastic flows
- Regime-switching risk: to price or not to price?
- On the price of risk under a regime switching CGMY process
- ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET
- Pricing and hedging contingent claims using variance and higher order moment swaps
- HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS
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