Title | LOCAL RISK MINIMIZING OPTION IN A REGIME-SWITCHING DOUBLE HESTON MODEL |
Publication Type | Journal Article |
Year of Publication | 2017 |
Authors | DASTRANJ ELHAM, NAMAZI SHIVA |
Journal | Dynamic Systems and Applications |
Volume | 26 |
Issue | 3&4 |
Start Page | 563 |
Pagination | 12 |
Date Published | 2017 |
ISSN | 1056-2176 |
AMS Subject Classification | 80G91, 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. |
https://acadsol.eu/dsa/articles/26/34/11.pdf | |
DOI | 10.12732/dsa.v26i34.11 |
Refereed Designation | Refereed |