Hedging Options In A Doubly Markov-Modulated Financial Market Via Stochastic Flows
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DOI: 10.1142/S021902491950047X
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- Robert J. Elliott & Tak Kuen Siu, 2023. "Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 925-950, July.
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Keywords
Hedging; European options; filtering; doubly Markov-modulated models; stochastic flows; risk-minimizing hedging strategies;All these keywords.
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