Pricing and hedging for correlation options with regime switching and common jump risk

DOI10.1080/03610926.2022.2031219MaRDI QIDQ6164724zbMATH OpenOpenAlexFDO

Authors Xiaonan Su, Miao Han, Yu Xing, Wei Wang

Publication date 28 July 2023

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2022.2031219

zbMATH Keywords

common jump riskcorrelation optionfast Fourier transform (FFT)regime switching

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(2)

• OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS
• Pricing and hedging contingent claims with regime switching risk

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