QA377 : Locally risk minimizing option pricing under the Markovian incomplete markets
Thesis > Central Library of Shahrood University > Mathematical Sciences > MSc > 2017
Authors:
Abstarct: We address risk minimizing option pricing in a regime switching with stochastic volatility
model when the underlying asset price follows a general state-dependent regime-switching jump diffusion process. Using minimal martingale measure, an optimal hedging strategy is obtained by the local risk minimization.
Keywords:
#Regime switching #Jump-diffusion processes #Stochastic volatility #Local risk minimization #Option pricing
Keeping place: Central Library of Shahrood University
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Keeping place: Central Library of Shahrood University
Visitor: