Pricing and hedging contingent claims with regime switching risk
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Publication:548447
DOI10.4310/CMS.2011.v9.n2.a6zbMath1216.91032MaRDI QIDQ548447
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
hedging; American options; valuation; contingent claims; Asian options; stochastic flows; zero-coupon bonds; martingale reprentationes; product density processes; regime switching risk; residual risk
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
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