Rainbow options with MS-VAR process

DOI10.5564/MMJ.V26I24.3000MaRDI QIDQ6541616zbMATH OpenFDO

Authors Battulga Gankhuu

Publication date 21 May 2024

Published in Mongolian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5564/MMJ.V26I24.3000

zbMATH Keywords

Bayesian MS-VAR processlocally risk-minimizing strategyrainbow and lookback options

Mathematics Subject Classification ID

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

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Cites work

• A Markov model for switching regressions
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Analysis of time series subject to changes in regime
• Changes of numéraire, changes of probability measure and option pricing
• Hidden Markov models for time series. An introduction using R
• scientific article; zbMATH DE number 4085365 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Modeling Multiple Times Series with Applications
• On Quadratic Cost Criteria for Option Hedging
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Stochastic finance. An introduction in discrete time
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
• The pricing of options and corporate liabilities
• Threshold models in non-linear time series analysis

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