On pricing and hedging options in regime-switching models with feedback effect

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dc.contributor.authorElliott, Roberteng
dc.contributor.authorSiu, Tak Kueneng
dc.contributor.authorBadescu, Alexandrueng
dc.date.accessioned2012-06-13T21:08:05Z
dc.date.available2012-06-13T21:08:05Z
dc.date.issued2011
dc.descriptionArticle deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012.eng
dc.description.abstractWe study the pricing and hedging of European-style derivative securities in a Markov, regime-switching, model with a feedback e ect depending on the economic condition. We adopt a pricing kernel which prices both nancial and economic risks explicitly in a dynamically incomplete market and we provide an equilibrium analysis. A martingale representation for a European-style index option's price is established based on the price kernel. The martingale representation is then used to construct the local risk-minimizing strategy explicitly and to characterize the corresponding pricing measure.eng
dc.description.refereedYeseng
dc.identifier.citationRobert J. Elliott, Tak Kuen Siu, Alexandru Badescu, On pricing and hedging options in regime-switching models with feedback effect, Journal of Economic Dynamics and Control, Volume 35, Issue 5, May 2011, Pages 694-713.eng
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/34090
dc.identifier.issn0165-1889
dc.identifier.urihttp://hdl.handle.net/1880/48995
dc.language.isoengeng
dc.publisherElseviereng
dc.publisher.corporateUniversity of Calgaryeng
dc.publisher.facultyHaskayne School of Businesseng
dc.publisher.hasversionPost-print
dc.publisher.urlhttp://www.journals.elsevier.com/journal-of-economic-dynamics-and-control/eng
dc.subjectPricing and hedgingeng
dc.subjectRegime-switchingeng
dc.subject.otherFeedback effecteng
dc.subject.otherProduct price kerneleng
dc.subject.otherLocal risk-minimizationeng
dc.titleOn pricing and hedging options in regime-switching models with feedback effecteng
dc.typejournal articleeng
thesis.degree.disciplineFinanceeng
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