Browsing Theses by Author "Qiu, Chao"
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Option Pricing and Hedging Analysis under Regime-switching Models
Qiu, Chao (University of Waterloo, 2013-04-23)This thesis explores option pricing and hedging in a discrete time regime-switching environment. If the regime risk cannot be hedged away, then we cannot ignore this risk and use the Black-Scholes pricing and hedging ...