Rainbow Options with MS–VAR process
DOI:
https://doi.org/10.5564/mmj.v26i24.3000Keywords:
Rainbow and lookback options, Bayesian MS-VAR process, locally risk-minimizing strategyAbstract
This paper presents pricing and hedging methods for rainbow options and lookback options under Markov-Switching Vector Autoregressive (MS–VAR) process. Here we assumed that a regime–switching process is generated by a homogeneous Markov
process. An advantage of our model is it depends on economic variables and simple as compared with previous existing papers.
Downloads
155
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2022 Battulga Gankhuu
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Copyright on any research article in the Mongolian Mathematical Journal is retained by the author(s).
The authors grant the Mongolian Mathematical Journal a license to publish the article and identify itself as the original publisher.
Articles in the Mongolian Mathematical Journal are Open Access articles published under a Creative Commons Attribution NonCommercial (CC-BY-NC)
This license permits use, distribution and reproduction in any medium, provided the original work is properly cited, does not allow for commercial use of the original work.