Regime-switching risk: to price or not to price?
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Publication:655231
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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Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
Cites Work
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Cited In (16)
- Asset pricing using trading volumes in a hidden regime-switching environment
- European option pricing with market frictions, regime switches and model uncertainty
- Portfolio optimization under convex incentive schemes
- A lattice method for option pricing with two underlying assets in the regime-switching 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
- An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk
- 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
- Pricing annuity guarantees under a double regime-switching model
- HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS
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