Regime-switching risk: to price or not to price?
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Cites work
- A game theoretic approach to option valuation under Markovian regime-switching models
- A general version of the fundamental theorem of asset pricing
- A Markov model for switching regressions
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A stochastic calculus model of continuous trading: Complete markets
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Double martingales
- Fair valuation of participating policies with surrender options and regime switching
- Geometric Lévy process \& MEMM pricing model and related estimation problems
- scientific article; zbMATH DE number 3700075 (Why is no real title available?)
- scientific article; zbMATH DE number 3793150 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
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- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- scientific article; zbMATH DE number 1494228 (Why is no real title available?)
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Minimal entropy martingale measures of jump type price processes in incomplete assets markets
- On pricing and hedging options in regime-switching models with feedback effect
- Option pricing and Esscher transform under regime switching
- Option pricing when the regime-switching risk is priced
- Option pricing when underlying stock returns are discontinuous
- Pricing and hedging contingent claims with regime switching risk
- The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
- The fundamental theorem of asset pricing for unbounded stochastic processes
- The minimal entropy martingale measures for geometric Lévy processes
- The Representation of Martingales of Jump Processes
Cited in
(22)- On the price of risk under a regime switching CGMY process
- Asset pricing using trading volumes in a hidden regime-switching environment
- Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
- Portfolio optimization under convex incentive schemes
- Pricing annuity guarantees under a double regime-switching model
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion 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
- A self-exciting threshold jump-diffusion model for option valuation
- A construction of equivalent martingale measures in a regime-switching model
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
- An econometric model of the term structure of interest rates under regime-switching risk
- Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
- A generalized Esscher transform for option valuation with regime switching risk
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- Risk Minimizing Option Pricing in a Regime Switching Market
- Volatility Risk For Regime-Switching Models
- European option pricing with market frictions, regime switches and model uncertainty
- Utility-based indifference pricing in regime-switching models
- Empirical study on option pricing under Markov regime switching economics
- Title not available (Why is no real title available?)
- On a Markov chain approximation method for option pricing with regime switching
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