Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models

DOI10.1080/03610926.2015.1030420zbMath1366.91155OpenAlexW2331919401MaRDI QIDQ2979963

Shaoyong Hu, Ai-lin Zhu

Publication date: 27 April 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1030420

zbMATH Keywords

regime switchingjump-diffusion processesminimal martingale measurespot foreign exchange rateEuropean currency optionspricing and hedging strategy

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

\(H_2/H_\infty\) control for stochastic jump-diffusion systems with Markovian switching ⋮ Pricing and hedging performance on pegged FX markets based on a regime switching model

Cites Work

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