A Note on Differentiability in a Markov Chain Market Using Stochastic Flows

DOI10.1080/07362994.2014.975359zbMath1336.91073OpenAlexW2002338709MaRDI QIDQ4981997

Tak Kuen Siu, Robert J. Elliott

Publication date: 23 March 2015

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

Full work available at URL: https://doi.org/10.1080/07362994.2014.975359

zbMATH Keywords

differentiabilityhedgingstochastic flowsMarkov chain market

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (2)

HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ On a Markov chain approximation method for option pricing with regime switching

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