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

DOI10.1016/j.jedc.2010.12.014zbMath1209.91156OpenAlexW2003153994MaRDI 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-switchinglocal risk-minimizationfeedback effectpricing and hedgingproduct price kernel

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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