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https://hdl.handle.net/2440/71459
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DC Field | Value | Language |
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dc.contributor.author | Elliott, R. | - |
dc.contributor.author | Siu, T. | - |
dc.date.issued | 2011 | - |
dc.identifier.citation | Communications in Mathematical Sciences, 2011; 9(2):477-498 | - |
dc.identifier.issn | 1539-6746 | - |
dc.identifier.issn | 1945-0796 | - |
dc.identifier.uri | http://hdl.handle.net/2440/71459 | - |
dc.description.abstract | We study the pricing and hedging of contingent claims in a Markov regime-switching market with a money market account, a zero-coupon bond, and an ordinary share. General contingent claims with payoffs depending on both the share price and the state of a Markov chain describing regime switching are considered. A general pricing kernel defined by the product of two density processes is used to explicitly take into account regime switching risk. Under some differentiability and boundedness conditions, a martingale representation result is established and the integrands in the representation are explicitly identified with respect to the general pricing kernel. We then determine a pricing kernel and a hedging strategy by minimizing the residual risk due to incomplete hedging. Our analysis is also extended to Asian-style and American-style general contingent claims. | - |
dc.description.statementofresponsibility | Robert J. Elliott and Tak Kuen Siu | - |
dc.language.iso | en | - |
dc.publisher | International Press | - |
dc.rights | Copyright status unknown | - |
dc.source.uri | http://www.intlpress.com/CMS/2011/issue9-2/ | - |
dc.title | Pricing and hedging contingent claims with regime switching risk | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.4310/CMS.2011.v9.n2.a6 | - |
dc.relation.grant | ARC | - |
pubs.publication-status | Published | - |
Appears in Collections: | Aurora harvest Mathematical Sciences publications |
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