Hedging options in a doubly Markov-modulated financial market via stochastic flows
Tak Kuen Siu, Robert J. Elliott
| Year of publication: |
2019
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|---|---|
| Authors: | Siu, Tak Kuen ; Elliott, Robert J. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 8, p. 1-41
|
| Subject: | Hedging | European options | filtering | doubly Markov-modulated models | stochastic flows | risk-minimizing hedging strategies | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Finanzmarkt | Financial market | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S021902491950047X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012183224