Pricing and hedging contingent claims with regime switching risk

DOI10.4310/CMS.2011.v9.n2.a6zbMath1216.91032MaRDI QIDQ548447

Robert J. Elliott, Tak Kuen Siu

Publication date: 28 June 2011

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.cms/1305034463

zbMATH Keywords

hedgingAmerican optionsvaluationcontingent claimsAsian optionsstochastic flowszero-coupon bondsmartingale reprentationesproduct density processesregime switching riskresidual risk

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (10)

On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model ⋮ On the price of risk under a regime switching CGMY process ⋮ A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing ⋮ Markovian forward-backward stochastic differential equations and stochastic flows ⋮ Regime-switching risk: to price or not to price? ⋮ Pricing and managing risks of European-style options in a Markovian regime-switching binomial model ⋮ ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ A Note on Differentiability in a Markov Chain Market Using Stochastic Flows ⋮ Smart Indexing Under Regime-Switching Economic States

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