Rainbow Options under Bayesian MS-VAR Process
Mathematical Finance
2023-06-01 v3
Abstract
This paper presents pricing and hedging methods for rainbow options and lookback options under Bayesian 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.
Cite
@article{arxiv.2112.10447,
title = {Rainbow Options under Bayesian MS-VAR Process},
author = {Battulga Gankhuu},
journal= {arXiv preprint arXiv:2112.10447},
year = {2023}
}
Comments
This version has some mistakes. After correction, we published it another journal