Pricing and hedging contingent claims with regime switching risk
type: Item
instance of: scholarly article
title: Pricing and hedging contingent claims with regime switching risk
zbMATH Open document ID: 1216.91032
author: Robert J. Elliott
author: Tak Kuen Siu
published in: Communications in Mathematical Sciences
publication date: 2011-06-28T00:00:00Z
full work available at URL: https://projecteuclid.org/euclid.cms/1305034463
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 5914214
zbMATH Keywords: contingent claims
zbMATH Keywords: regime switching risk
zbMATH Keywords: valuation
zbMATH Keywords: hedging
zbMATH Keywords: product density processes
zbMATH Keywords: martingale reprentationes
zbMATH Keywords: stochastic flows
zbMATH Keywords: zero-coupon bonds
zbMATH Keywords: residual risk
zbMATH Keywords: Asian options
zbMATH Keywords: American options
MaRDI profile type: Publication
DOI: 10.4310/CMS.2011.V9.N2.A6
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description: scientific article; zbMATH DE number 5914214