A PDE approach for risk measures for derivatives with regime switching
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Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 4 (2008)
Issue (Month): 1 (January)
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Web page: http://www.springerlink.com/link.asp?id=112370
Risk measures; Regime-switching PDE; Regime-switching HJB equation; Stochastic optimal control; Esscher transform; Delta-neutral hedging; Jump risk; American options; Exotic options; G32; G13;
Find related papers by JEL classification:
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Robert J. Elliott & Leunglung Chan & Tak Kuen Siu, 2005. "Option pricing and Esscher transform under regime switching," Annals of Finance, Springer, vol. 1(4), pages 423-432, October.
- Elliott, R. J. & Malcolm, W. P. & Tsoi, Allanus H., 2003. "Robust parameter estimation for asset price models with Markov modulated volatilities," Journal of Economic Dynamics and Control, Elsevier, vol. 27(8), pages 1391-1409, June.
- X. Guo, 2001. "Information and option pricings," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 38-44.
- Robert J. Elliott & John van der Hoek, 1997. "An application of hidden Markov models to asset allocation problems (*)," Finance and Stochastics, Springer, vol. 1(3), pages 229-238.
- Robert Elliott & Leunglung Chan & Tak Siu, 2006. "Risk measures for derivatives with Markov-modulated pure jump processes," Asia-Pacific Financial Markets, Springer, vol. 13(2), pages 129-149, June.
- Siu, Tak Kuen, 2008. "A game theoretic approach to option valuation under Markovian regime-switching models," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1146-1158, June.
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