Rainbow Options with MS–VAR process

Authors

  • Battulga Gankhuu Applied Mathematics, National University of Mongolia, Ulaanbaatar, Mongolia

DOI:

https://doi.org/10.5564/mmj.v26i24.3000

Keywords:

Rainbow and lookback options, Bayesian MS-VAR process, locally risk-minimizing strategy

Abstract

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

Download data is not yet available.
Abstract
161
PDF
166

Downloads

Published

2023-08-31

How to Cite

Gankhuu, B. (2023). Rainbow Options with MS–VAR process. Mongolian Mathematical Journal, 26(24), 1–16. https://doi.org/10.5564/mmj.v26i24.3000

Issue

No. 24 (2023)

Section

Articles

License

Copyright (c) 2022 Battulga Gankhuu

Creative Commons License

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.