The pricing and hedging of an attainable claim in a hybrid Black-Scholes model under regime switching
type: Item
instance of: scholarly article
title: The pricing and hedging of an attainable claim in a hybrid Black-Scholes model under regime switching
zbMATH Open document ID: 1486.91094
DOI: 10.1155/2021/5592901
author: Kuanhou Tian
author: Guixin Hu
author: Yan-Fang Li
published in: Discrete Dynamics in Nature and Society
publication date: 2022-01-07T00:00:00Z
review text: Summary: This article formulates and dissects a Black-Scholes model with regime switching that can be used to describe the performance of a complete market. An explicit integrand formula \(\phi(t, \omega)\) is obtained when the \(T\)-claim \(F(\omega)\) is given for an attainable claim in this complete market. In addition, some perfect results are presented on how to hedge an attainable claim for this Black-Scholes model, and the price \(p\) of the European call and the self-financing portfolio \(\theta(t)=(\theta_0(t), \theta_1 (t))\) are given explicitly. Finally, some concluding remarks are provided to illustrate the theoretical results.
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 7453838
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2021/5592901
OpenAlex ID: W3217644311
cites work: Stochastic population dynamics under regime switching
cites work: Evolution of predator-prey systems described by a Lotka-Volterra equation under random environment
cites work: Population dynamical behavior of Lotka-Volterra system under regime switching
cites work: Stochastic Differential Equations with Markovian Switching
cites work: Explicit solutions to European options in a regime-switching economy
cites work: Option pricing with regime switching by trinomial tree method
cites work: Convergence rates of trinomial tree methods for option pricing under regime-switching models
cites work: Stochastic differential equations. An introduction with applications.
cites work: A generalized clark representation formula, with application to optimal portfolios
cites work: Itô-Wiener chaos expansion with exact residual and correlation, variance inequalities
cites work: Q4042404
cites work: Q3126393
description: scientific article; zbMATH DE number 7453838