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Rainbow Options under Bayesian MS-VAR Process

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  • Battulga Gankhuu

Abstract

This paper presents pricing and hedging methods for rainbow options and lookback options under Bayesian Markov-Switching Vector Autoregressive (MS--VAR) process. Here we assumed that a regime-switching process is generated by a homogeneous Markov process. An advantage of our model is it depends on economic variables and simple as compared with previous existing papers.

Suggested Citation

  • Battulga Gankhuu, 2021. "Rainbow Options under Bayesian MS-VAR Process," Papers 2112.10447, arXiv.org, revised May 2023.
    • Handle: RePEc:arx:papers:2112.10447
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    References listed on IDEAS

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