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A PDE approach for risk measures for derivatives with regime switching

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Author Info
Robert Elliott ()
Tak Siu
Leunglung Chan

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10436-006-0068-5
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Publisher Info
Article provided by Springer in its journal Annals of Finance.

Volume (Year): 4 (2008)
Issue (Month): 1 (January)
Pages: 55-74
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Handle: RePEc:kap:annfin:v:4:y:2008:i:1:p:55-74

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Web page: http://www.springerlink.com/link.asp?id=112370

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Related research
Keywords: 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;

References listed on IDEAS
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.:

  1. 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. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
  3. 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. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. 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. [Downloadable!] (restricted)
Statistics
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