A Note on Differentiability in a Markov Chain Market Using Stochastic Flows

作者：Elliott Robert J^*; Siu Tak Kuen

来源：Stochastic Analysis and Applications, 2015, 33(1): 110-122.

DOI：10.1080/07362994.2014.975359

• Markov chain market
• Hedging
• Stochastic flows
• Differentiability

Using stochastic flows of diffeomorphisms relating to a Markov chain together with the Ito's differentiation rule, the differentiability of the price of a European-style contingent claim with respect to the underlying state variables is proved in a continuous-time Markov chain market. The differentiability results are also used to calculate the Greeks for hedging.

• 出版日期2015-1-2