Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models

References

• Basak, G.K., Ghosh, M.K., Goswami, A. (2011). Risk minimizing option pricing for a class of exotic options in a Markov-modulated market. Stochastic Anal. Appl. 29:259–281.
   Web of Science ®Google Scholar
• Bates, T. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsch mark options. Rev. Financial Stud. 9:69–107.
   Web of Science ®Google Scholar
• Biger, T., Hull, J. (1983). The valuation of currency options. Financial Manage. 12:24–28.
   Web of Science ®Google Scholar
• Bo, L.J., Wang, Y.J., Yang, X.W. (2010). Markov-modulated jump-diffusions for currency option pricing. Insurance: Math. Econ. 46:461–469.
   Web of Science ®Google Scholar
• Buffington, J., Elliott, R.J. (2002a). Regime switching and European options. Stochastic Theory Control 280:73–82.
   Google Scholar
• Buffington, J., Elliott, R.J. (2002b). American options with regime switching. Int. J. Theor. Appl. Finance 5:497–514.
   Google Scholar
• Duffie, D., Richardson, H.R. (1991). Mean-variance hedging in continuous time. Ann. Appl. Probab. 1:1–15.
   Google Scholar
• Elliott, R.J., Chan, L., Shiu, T.K. (2005). Option pricing and Esscher transform under regime switching. Ann. Finance 1:423–432.
   Google Scholar
• Elliott, R.J., Siu, T.K., Chan, L., Lau, J.W. (2007). Pricing options under a generalized Markov-modulated jump-diffusion model. Stochastic Anal. Appl. 25:821–843.
   Web of Science ®Google Scholar
• Elliott, R.J., Siu, T.K., Badescu, A. (2011). On pricing and hedging options in regime-switching models with feedback effect. J. Econ. Dyn. Control 35:694–713.
   Web of Science ®Google Scholar
• Elliott, R.J., Osakwe, C.J. (2006). Option pricing for pure jump processes with Markov switching compensators. Finance Stochastics 10:250–275.
   Web of Science ®Google Scholar
• Föllmer, H., Sondermann, D. (1986). Hedging of contingent claims under incomplete information. In Hildenbrand, W., Mas-Colell, A. eds. Contributions to Mathematical Economics. Amsterdam: North Holland.
   Google Scholar
• Föllmer, H., Schweizer, M. (1991). Hedging of contingent claims under incomplete information. Appl. Stochastic Anal. 5:389–414.
   Google Scholar
• Garman, M., Kohlhangen, S. (1983). Foreign currency option values. J. Int. Money Finance 2:239–253.
   Web of Science ®Google Scholar
• Gerber, H.U., Shiu, E.S.W. (1994). Option pricing by Esscher transforms. Trans. Soc. Actuaries 46:99–191.
   Google Scholar
• Guo, X. (2001). Information and option pricings. Quant. Finance 1:38–44.
   Google Scholar
• Harrison, J.M., Pliska, S.R. (1983). A stochastic calculus model of continuous trading: Complete markets. Stochastic Process. Appl. 15:313–316.
   Google Scholar
• Harrison, J.M., Pliska, S.R. (1981). Martingales and stochastic integrals in the theory of continuous trading. Stochastic Process. Appl. 11:215–280.
   Google Scholar
• Heston, S. L. (1993). A closed-form solution for options with stochastic volatility, with applications to bond and currency options. Rev. Financial Stud. 6:327–343.
   Web of Science ®Google Scholar
• Kou, S.G. (2002). A jump diffusion model for option pricing. Manage. Sci. 48:1086–1101.
   Web of Science ®Google Scholar
• Melino, A., Turnbull, S.M. (1990). Pricing foreign currency options with stochastic volatility. J. Economet. 45:239–265.
   Web of Science ®Google Scholar
• Miyahara, Y. (2001). Geometric Lévy process and MEMM: Pricing model and related estimation problems. Asia-Pacific Financial Markets 8:45–60.
   Google Scholar
• Protter, P. (1990). Stochastic Integration and Differential Equations. Berlin: Springer-Verlag.
   Google Scholar
• Schweizer, M. (1992). Mean-variance hedging for general claims. Ann. Appl. Probab. 2:171–179.
   Google Scholar
• Shastri, K., Wetheyavivorn, K. (1987). The valuation of currency options for alternate stochastic processes. J. Financial Res. 10:283–293.
   Web of Science ®Google Scholar
• Siu, T.K., Yang, H.L., Lau, J.W. (2008). Pricing currency options under two-factor Markov-modulated stochastic volatility models. Insurance: Math. Econ. 43:295–302.
   Web of Science ®Google Scholar