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https://hdl.handle.net/2440/91938
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dc.contributor.author | Elliott, R. | - |
dc.contributor.author | Siu, T. | - |
dc.date.issued | 2012 | - |
dc.identifier.citation | International Journal of Theoretical and Applied Finance, 2012; 15(8):1250055-1-1250055-19 | - |
dc.identifier.issn | 0219-0249 | - |
dc.identifier.issn | 1793-6322 | - |
dc.identifier.uri | http://hdl.handle.net/2440/91938 | - |
dc.description.abstract | It is known that the market in a Markovian regime-switching model is, in general, incomplete, so not all contingent claims can be perfectly hedged. We show, in this paper, how certain contingent claims are attainable in the regime-switching market using a money market account, a share and a zero-coupon bond. General contingent claims with payoffs depending on both the share price and the state of the regime-switching process are considered. We apply a martingale representation result to show the attainability of a European-style contingent claim. We also extend our analysis to Asian-style and American-style contingent claims. | - |
dc.description.statementofresponsibility | Robert J. Elliott, Tak Kuen Siu | - |
dc.language.iso | en | - |
dc.publisher | World Scientific Publishing | - |
dc.rights | © World Scientific Publishing Company | - |
dc.source.uri | http://dx.doi.org/10.1142/s0219024912500550 | - |
dc.subject | Contingent claims; attainability; hedging; Markovian regime switching models; martingale representation; exotic options | - |
dc.title | Attainable contingent claims in a Markovian regime-switching market | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.1142/S0219024912500550 | - |
dc.relation.grant | http://purl.org/au-research/grants/arc/DP1096243 | - |
pubs.publication-status | Published | - |
Appears in Collections: | Aurora harvest 2 Mathematical Sciences publications |
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