Optimal hedging when the underlying asset follows a regime-switching Markov process

DOI10.1016/j.ejor.2014.01.034zbMath1304.91249OpenAlexW3123586765MaRDI QIDQ2514833

Frédéric Godin, Geneviève Gauthier, Pascal François

Publication date: 4 February 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://depot.erudit.org/id/003672dd

zbMATH Keywords

dynamic programminghedgingregime switchingrisk management

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Equal risk pricing and hedging of financial derivatives with convex risk measures ⋮ LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Stochastic impulse control with regime-switching dynamics ⋮ A profitable modification to global quadratic hedging ⋮ Option pricing in regime-switching frameworks with the extended Girsanov principle ⋮ Deep hedging of long-term financial derivatives ⋮ Minimizing CVaR in global dynamic hedging with transaction costs ⋮ Equal risk pricing of derivatives with deep hedging

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