Regime-switching risk: to price or not to price?

DOI10.1155/2011/843246zbMATH Open1230.91203OpenAlexW2012383489WikidataQ58688948 ScholiaQ58688948MaRDI QIDQ655231FDOQ655231

Authors: Tak Kuen Siu 

Publication date: 3 January 2012

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/843246

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Cites Work

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Cited In (21)

• Asset pricing using trading volumes in a hidden regime-switching environment
• European option pricing with market frictions, regime switches and model uncertainty
• An econometric model of the term structure of interest rates under regime-switching risk
• Portfolio optimization under convex incentive schemes
• Hedging options in a doubly Markov-modulated financial market via stochastic flows
• Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
• A lattice method for option pricing with two underlying assets in the regime-switching model
• On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
• On a Markov chain approximation method for option pricing with regime switching
• A self-exciting threshold jump-diffusion model for option valuation
• Utility-based indifference pricing in regime-switching models
• On the price of risk under a regime switching CGMY process
• A construction of equivalent martingale measures in a regime-switching model
• A generalized Esscher transform for option valuation with regime switching risk
• Empirical study on option pricing under Markov regime switching economics
• Volatility Risk For Regime-Switching Models
• Risk Minimizing Option Pricing in a Regime Switching Market
• Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
• COS method for option pricing under a regime-switching model with time-changed Lévy processes
• Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
• Pricing annuity guarantees under a double regime-switching model

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