A game theoretic approach to option valuation under Markovian regime-switching models

DOI10.1016/j.insmatheco.2008.03.003zbMath1141.91344OpenAlexW1984134525MaRDI QIDQ931215

Tak Kuen Siu

Publication date: 25 June 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.03.003

zbMATH Keywords

regime switchingstochastic differential gamejump-diffusion modelEsscher transformoption valuationpower utility

Mathematics Subject Classification ID

Related Items (16)

Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes ⋮ A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing ⋮ Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model ⋮ Utility-based indifference pricing in regime-switching models ⋮ Option valuation by a self-exciting threshold binomial model ⋮ A lattice method for option pricing with two underlying assets in the regime-switching model ⋮ Regime-switching risk: to price or not to price? ⋮ Continuous-time mean-variance portfolio selection with liability and regime switching ⋮ A hidden Markov regime-switching model for option valuation ⋮ ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET ⋮ 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 ⋮ Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model ⋮ A risk-based approach for pricing American options under a generalized Markov regime-switching model ⋮ Pricing annuity guarantees under a double regime-switching model ⋮ Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model

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