Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market-Reference-Cited by-同舟云学术

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Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market

Published:2011-02-25 Issue:2 Volume:29 Page:259-281
ISSN:0736-2994
Container-title:Stochastic Analysis and Applications
language:en
Short-container-title:Stochastic Analysis and Applications

Author:

Basak Gopal K.,Ghosh Mrinal K.,Goswami Anindya

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://www.tandfonline.com/doi/pdf/10.1080/07362994.2011.548665

Reference30 articles.

1. AMERICAN OPTIONS WITH REGIME SWITCHING

2. Mean-Variance Hedging of Options on Stocks with Markov Volatilities

3. Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities

4. Multiperiod security markets with differential information

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1. Regime recovery using implied volatility in Markov modulated market model;Applied Stochastic Models in Business and Industry;2022-10-12

2. Inference of Binary Regime Models with Jump Discontinuities;Sankhya B;2022-04-07

3. Opciones exóticas;Lecturas de Economía;2021-05-26

4. Pricing and hedging performance on pegged FX markets based on a regime switching model;Quantitative Finance;2020-07-28

5. Testing of binary regime switching models using squeeze duration analysis;International Journal of Financial Engineering;2019-03

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