A PDE approach for risk measures for derivatives with regime switching

DOI10.1007/s10436-006-0068-5zbMath1233.91271MaRDI QIDQ665800

Tak Kuen Siu, Robert J. Elliott, Leunglung Chan

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-006-0068-5

zbMATH Keywords

stochastic optimal control; American options; jump risk; risk measures; exotic options; Esscher transform; regime-switching HJB equation; delta-neutral hedging; regime-switching PDE

Mathematics Subject Classification ID

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

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

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Uses Software

• RiskMetrics

Cites Work

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