Adelaide Research & Scholarship
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https://hdl.handle.net/2440/103387
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| Type: | Journal article |
| Title: | A note on differentiability in a Markov chain market using stochastic flows |
| Author: | Elliott, R. Siu, T. |
| Citation: | Stochastic Analysis and Applications, 2015; 33(1):110-122 |
| Publisher: | Taylor & Francis |
| Issue Date: | 2015 |
| ISSN: | 0736-2994 1532-9356 |
| Statement of Responsibility: | Robert J. Elliott and Tak Kuen Siu |
| Abstract: | Using stochastic flows of diffeomorphisms relating to a Markov chain together with the Itô's differentiation rule, the differentiability of the price of a European-style contingent claim with respect to the underlying state variables is proved in a continuous-time Markov chain market. The differentiability results are also used to calculate the Greeks for hedging |
| Keywords: | Stochastic flows; differentiability; Markov chain market; hedging |
| Rights: | © Taylor & Francis Group, LLC |
| DOI: | 10.1080/07362994.2014.975359 |
| Published version: | http://dx.doi.org/10.1080/07362994.2014.975359 |
| Appears in Collections: | Aurora harvest 3 Mathematical Sciences publications |
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