Option Pricing and Hedging Analysis under Regime-switching Models
This thesis explores option pricing and hedging in a discrete time regime-switching environment. If the regime risk cannot be hedged away, then we cannot ignore this risk and use the Black-Scholes pricing and hedging framework to generate a unique pricing and hedging measure. We develop a risk neutr...
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| Language: | en |
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2013
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| Online Access: | http://hdl.handle.net/10012/7433 |