On pricing and hedging options in regime-switching models with feedback effect

DOI10.1016/j.jedc.2010.12.014zbMath1209.91156MaRDI QIDQ633323

Robert J. Elliott, Tak Kuen Siu, Alexandru M. Badescu

Publication date: 31 March 2011

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.12.014

zbMATH Keywords

regime-switching; local risk-minimization; feedback effect; pricing and hedging; product price kernel

Mathematics Subject Classification ID

60G48: Generalizations of martingales

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL, ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET, Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model, A Note on Differentiability in a Markov Chain Market Using Stochastic Flows, A generalized Esscher transform for option valuation with regime switching risk, Stochastic Flows and Jump-Diffusions, HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS, A FINANCIAL MARKET OF A STOCHASTIC DELAY EQUATION, A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain, On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model, A self-exciting threshold jump-diffusion model for option valuation, Regime-switching risk: to price or not to price?, On a Markov chain approximation method for option pricing with regime switching, On the price of risk under a regime switching CGMY process, Market-making strategy with asymmetric information and regime-switching, Valuation and hedging strategy of currency options under regime-switching jump-diffusion model, Option pricing in regime-switching frameworks with the extended Girsanov principle, Detecting stock market regimes from option prices, The maximum principle for stochastic control problem with Markov chain in progressive structure, Pricing annuity guarantees under a double regime-switching model, What is beneath the surface? Option pricing with multifrequency latent states, Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model, Option pricing under regime-switching models: novel approaches removing path-dependence, A lattice method for option pricing with two underlying assets in the regime-switching model, Hidden Markov models with threshold effects and their applications to oil price forecasting, REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING, Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• Option pricing and Esscher transform under regime switching
• Markov-switching stochastic trends and economic fluctuations
• On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
• Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
• Integration by parts, homogeneous chaos expansions and smooth densities
• Martingale representation and hedging policies
• Filtering with discrete state observations
• Short rate nonlinearities and regime switches.
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Risk-minimality and orthogonality of martingales
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS¹
• Information and option pricings
• Testing the term structure of interest rates using a stationary vector autoregression with regime switching