Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models

DOI10.1080/07362994.2016.1166061zbMath1344.49031OpenAlexW2417065969MaRDI QIDQ3185983

Xiaonan Su, Zhuo Jin, Wei Wang, Lin-Yi Qian

Publication date: 8 August 2016

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2016.1166061

zbMATH Keywords

regime switchingMonte Carlo simulationcontinuous-time Markov chaindefault risklocal risk minimizationnon-tradable assetsEuropean contingent claims

Mathematics Subject Classification ID

Related Items (6)

LOCALLY RISK-MINIMIZING HEDGING FOR EUROPEAN CONTINGENT CLAIMS WRITTEN ON NON-TRADABLE ASSETS WITH COMMON JUMP RISK ⋮ Option pricing in a regime switching stochastic volatility model ⋮ Pricing and hedging for correlation options with regime switching and common jump risk ⋮ Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives ⋮ Unnamed Item ⋮ Pricing warrant bonds with credit risk under a jump diffusion process

Cites Work

• Option pricing and Esscher transform under regime switching
• Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• Hedging diffusion processes by local risk minimization with applications to index tracking
• Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• Utility-Based Valuation and Hedging of Basis Risk With Partial Information
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS
• Ergodic Control of Switching Diffusions
• Insiders' hedging in a jump diffusion model
• Risk Minimizing Option Pricing in a Regime Switching Market

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