Regime-switching risk: to price or not to price?

DOI10.1155/2011/843246zbMath1230.91203OpenAlexW2012383489WikidataQ58688948 ScholiaQ58688948MaRDI QIDQ655231

Tak Kuen Siu

Publication date: 3 January 2012

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/843246

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

COS method for option pricing under a regime-switching model with time-changed Lévy processes ⋮ A self-exciting threshold jump-diffusion model for option valuation ⋮ An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk ⋮ A generalized Esscher transform for option valuation with regime switching risk ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ A lattice method for option pricing with two underlying assets in the regime-switching model ⋮ Portfolio optimization under convex incentive schemes ⋮ Asset pricing using trading volumes in a hidden regime-switching environment ⋮ Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ On a Markov chain approximation method for option pricing with regime switching ⋮ Pricing annuity guarantees under a double regime-switching model

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