LOCAL RISK MINIMIZING OPTION IN A REGIME-SWITCHING DOUBLE HESTON MODEL

TitleLOCAL RISK MINIMIZING OPTION IN A REGIME-SWITCHING DOUBLE HESTON MODEL
Publication TypeJournal Article
Year of Publication2017
AuthorsDASTRANJ ELHAM, NAMAZI SHIVA
JournalDynamic Systems and Applications
Volume26
Issue3&4
Start Page563
Pagination12
Date Published2017
ISSN1056-2176
AMS Subject Classification80G91, 91G60
Abstract

We address risk minimizing option pricing in a regime switching double Heston model with three jumps when the underlying asset price follows a general state-dependent regimeswitching jump-diffusion process. Using minimal martingale measure, an optimal hedging strategy is obtained by the local risk minimization.

PDFhttps://acadsol.eu/dsa/articles/26/34/11.pdf
DOI10.12732/dsa.v26i34.11
Refereed DesignationRefereed