FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2115696442> ?p ?o ?g. }

• W2115696442 abstract "We derive a martingale representation for a contingent claim under a Markov-modulated version of the Black-Scholes economy. The mar- tingale representation for the price of the claim is established with respect to an equivalent martingale measure chosen by the Esscher transform. Under some dieren tiability conditions for the coecien ts of the price processes, we shall identify explicitly the integrands in the martingale representation us- ing stochastic o ws. We shall introduce a zero-coupon bond to minimize the residual risk due to incomplete hedging. Recently, regime-switching models have played an important role in dieren t branches of modern nancial economics. The origin of regime-switching models in econometrics goes back to the original work of Hamilton (1989) in which a discrete-time Markov-switching autoregressive time series models was proposed. Applications of regime-switching models penetrate dieren t areas in modern - nancial economics. Some works on these applications include Elliott and van der Hoek (1997) for asset allocation, Pliska (1997), and Elliott, Hunter and Jamieson (2001) for short rate models, Elliott and Hinz (2002) for portfolio analysis and chart analysis, Niak (1993), Guo (2001) and Bungton and Elliott (2002a,b) for option valuation and Elliott, Malcolm and Tsoi (2003) for volatility estimation. The representation of martingales as stochastic integrals and the identication of the integrand in the representation are important topics in stochastic calculus and its applications. In mathematical nance, the integrand in the martingale representation of the discounted price process of a contingent claim may be used to construct a hedging policy for the claim. Colwell, Elliott and Kopp (1991) use the martingale representation theorem and stochastic o ws to identify a hedging policy for a contingent claim in the context of a multi-dimensional diusion model. Colwell and Elliott (1993) use a martingale representation result to construct the local risk-minimizing strategy explicitly. Their result provides an alternative mo- tive for the concept of the minimal martingale measure. In this paper, we shall derive a martingale representation for a contingent claim written on a risky asset under a Markov-modulated version of the Black-Scholes economy. We assume that the market parameters, including the market interest 2000 Mathematics Subject Classic ation. Primary 91B70; Secondary 91B28." @default.
• W2115696442 created "2016-06-24" @default.
• W2115696442 creator A5045670674 @default.
• W2115696442 creator A5057293423 @default.
• W2115696442 creator A5082000840 @default.
• W2115696442 date "2007-08-01" @default.
• W2115696442 modified "2023-10-12" @default.
• W2115696442 title "Martingale representation for contingent claims with regime switching" @default.
• W2115696442 cites W103591919 @default.
• W2115696442 cites W1488001421 @default.
• W2115696442 cites W1488963463 @default.
• W2115696442 cites W1503295912 @default.
• W2115696442 cites W194721474 @default.
• W2115696442 cites W1965746347 @default.
• W2115696442 cites W1985018066 @default.
• W2115696442 cites W1989738013 @default.
• W2115696442 cites W1998579713 @default.
• W2115696442 cites W2029920538 @default.
• W2115696442 cites W2041550349 @default.
• W2115696442 cites W2044192670 @default.
• W2115696442 cites W2049258568 @default.
• W2115696442 cites W2055319722 @default.
• W2115696442 cites W2074812030 @default.
• W2115696442 cites W2077590131 @default.
• W2115696442 cites W2077791698 @default.
• W2115696442 cites W2102791351 @default.
• W2115696442 cites W2108237853 @default.
• W2115696442 cites W2151688581 @default.
• W2115696442 cites W2965687321 @default.
• W2115696442 cites W2087061940 @default.
• W2115696442 doi "https://doi.org/10.31390/cosa.1.2.07" @default.
• W2115696442 hasPublicationYear "2007" @default.
• W2115696442 type Work @default.
• W2115696442 sameAs 2115696442 @default.
• W2115696442 citedByCount "7" @default.
• W2115696442 countsByYear W21156964422012 @default.
• W2115696442 countsByYear W21156964422019 @default.
• W2115696442 countsByYear W21156964422023 @default.
• W2115696442 crossrefType "journal-article" @default.
• W2115696442 hasAuthorship W2115696442A5045670674 @default.
• W2115696442 hasAuthorship W2115696442A5057293423 @default.
• W2115696442 hasAuthorship W2115696442A5082000840 @default.
• W2115696442 hasBestOaLocation W21156964421 @default.
• W2115696442 hasConcept C105795698 @default.
• W2115696442 hasConcept C144237770 @default.
• W2115696442 hasConcept C149782125 @default.
• W2115696442 hasConcept C162324750 @default.
• W2115696442 hasConcept C17744445 @default.
• W2115696442 hasConcept C199539241 @default.
• W2115696442 hasConcept C2776359362 @default.
• W2115696442 hasConcept C33923547 @default.
• W2115696442 hasConcept C48406656 @default.
• W2115696442 hasConcept C94625758 @default.
• W2115696442 hasConceptScore W2115696442C105795698 @default.
• W2115696442 hasConceptScore W2115696442C144237770 @default.
• W2115696442 hasConceptScore W2115696442C149782125 @default.
• W2115696442 hasConceptScore W2115696442C162324750 @default.
• W2115696442 hasConceptScore W2115696442C17744445 @default.
• W2115696442 hasConceptScore W2115696442C199539241 @default.
• W2115696442 hasConceptScore W2115696442C2776359362 @default.
• W2115696442 hasConceptScore W2115696442C33923547 @default.
• W2115696442 hasConceptScore W2115696442C48406656 @default.
• W2115696442 hasConceptScore W2115696442C94625758 @default.
• W2115696442 hasIssue "2" @default.
• W2115696442 hasLocation W21156964421 @default.
• W2115696442 hasOpenAccess W2115696442 @default.
• W2115696442 hasPrimaryLocation W21156964421 @default.
• W2115696442 hasRelatedWork W1502198272 @default.
• W2115696442 hasRelatedWork W1986173648 @default.
• W2115696442 hasRelatedWork W1998718379 @default.
• W2115696442 hasRelatedWork W2017540542 @default.
• W2115696442 hasRelatedWork W2062195135 @default.
• W2115696442 hasRelatedWork W2073254488 @default.
• W2115696442 hasRelatedWork W2321373232 @default.
• W2115696442 hasRelatedWork W2795079307 @default.
• W2115696442 hasRelatedWork W2899084033 @default.
• W2115696442 hasRelatedWork W2953059741 @default.
• W2115696442 hasVolume "1" @default.
• W2115696442 isParatext "false" @default.
• W2115696442 isRetracted "false" @default.
• W2115696442 magId "2115696442" @default.
• W2115696442 workType "article" @default.