Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Robert J. Elliott, Tak Kuen Siu
| Year of publication: |
2023
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|---|---|
| Authors: | Elliott, Robert J. ; Siu, Tak Kuen |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 43.2023, 7, p. 925-950
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| Subject: | filtering | hidden markov models | local volatility | Monte-Carlo simulations | option hedging | stochastic flows | Hedging | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Simulation | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22422 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014293270