Volatility Risk For Regime-Switching Models

DOI10.1080/10920277.2004.10596175zbMath1085.62510OpenAlexW2055535170MaRDI QIDQ5716001

Ken Seng Tan, Adam W. Kolkiewicz

Publication date: 6 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2004.10596175

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

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• Volatility misspecification, option pricing and superreplication via coupling
• Conservative delta hedging.
• Mean-Variance Hedging for Stochastic Volatility Models
• A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
• A Theory of the Term Structure of Interest Rates
• Robustness of the Black and Scholes Formula
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• A Regime-Switching Model of Long-Term Stock Returns

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