Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions

DOI10.1080/07362994.2012.704852zbMath1258.91079OpenAlexW2071951646MaRDI QIDQ4648515

Robert J. Elliott, John van der Hoek

Publication date: 9 November 2012

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

Full work available at URL: https://doi.org/10.1080/07362994.2012.704852

zbMATH Keywords

continuous-time Markov chainsderivative asset pricingstochastic discount functions

Mathematics Subject Classification ID

Related Items (14)

Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis ⋮ THE POTENTIAL APPROACH IN PRACTICE ⋮ Perfect simulation of steady-state Markov chain on mixed state space ⋮ Time-Coherent Risk Measures for Continuous-Time Markov Chains ⋮ Default Times in a Continuous Time Markov Chain Economy ⋮ Computation of the steady-state probability of Markov chain evolving on a mixed state space ⋮ Stochastic control for BSDEs and ABSDEs with Markov chain noises ⋮ Characteristic functions and option valuation in a Markov chain market ⋮ Integration by parts and martingale representation for a Markov chain ⋮ OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR ⋮ The mean squared loss control problem for a partially observed Markov chain ⋮ On a Markov chain approximation method for option pricing with regime switching ⋮ On anticipated backward stochastic differential equations with Markov chain noise ⋮ A Note on Differentiability in a Markov Chain Market Using Stochastic Flows

Cites Work

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• Probability methods for approximations in stochastic control and for elliptic equations
• Equity with Markov-modulated dividends
• ONE FOR ALL The Potential Approach to Pricing and Hedging
• A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• American option prices in a Markov chain market model

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