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.

Abstract
125
PDF 119

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

Section

Articles