A PDE approach for risk measures for derivatives with regime switching

DOI10.1007/s10436-006-0068-5zbMath1233.91271OpenAlexW2072354128MaRDI QIDQ665800

Tak Kuen Siu, Robert J. Elliott, Leunglung Chan

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-006-0068-5

zbMATH Keywords

stochastic optimal controlAmerican optionsjump riskrisk measuresexotic optionsEsscher transformregime-switching HJB equationdelta-neutral hedgingregime-switching PDE

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Uses Software

• RiskMetrics

Cites Work

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