The Pricing and Hedging of an Attainable Claim in a Hybrid Black–Scholes Model under Regime Switching
Keyword(s):
The Self
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This article formulates and dissects a Black–Scholes model with regime switching that can be used to describe the performance of a complete market. An explicit integrand formula ϕ t , ω is obtained when the T -claim F ω is given for an attainable claim in this complete market. In addition, some perfect results are presented on how to hedge an attainable claim for this Black–Scholes model, and the price p of the European call and the self-financing portfolio θ t = θ 0 t , θ 1 t are given explicitly. Finally, some concluding remarks are provided to illustrate the theoretical results.
2020 ◽
Vol 85
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pp. 105222
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2016 ◽
Vol 17
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pp. 33-39
2007 ◽
Vol 10
(08)
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pp. 1323-1337
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2004 ◽
Vol 11
(4)
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pp. 431-444
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2021 ◽
Vol 96
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pp. 105676
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Keyword(s):