Bid-ask price models under a markovian regime-switching environment /
| dc.contributor.author | Dela Vega, Engel John | |
| dc.contributor.school | University of South Australia. UniSA Business. | |
| dc.contributor.school | UniSA Business | |
| dc.date.issued | 2021 | |
| dc.description | 1 ethesis (ix, 116 pages) : | |
| dc.description | illustrations. | |
| dc.description | Includes bibliographical references (pages 109-116) | |
| dc.description.abstract | This thesis models bid and ask prices under a Markovian regime-switching environment using three approaches. Markovian regime-switching, which uses a Markov chain to represent the states of an economy, is incorporated into the dynamics to describe jumps in the prices of financial assets. Using the stochastic control approach, the price of a European-type asset is optimized via two control problems to represent bid and ask prices of the same asset. Using the conic finance approach, the bid and ask prices are characterized using distorted expectations, which assign higher weights to lower payoff values for the bid price and higher weights to higher payoff values for the ask price. In the third approach, the bid and ask prices are described by sublinear expectations, which are shown to be solutions of a new type of backward stochastic differential equation. | |
| dc.description.dissertation | Thesis (PhD(Finance and related studies))--University of South Australia, 2021. | |
| dc.identifier.uri | https://hdl.handle.net/11541.2/26747 | |
| dc.language.iso | en | |
| dc.provenance | Copyright 2021 Engel John Dela Vega. | |
| dc.subject | two priced theory;Markov chains;regime-switching | |
| dc.subject.lcsh | Assets (Accounting) | |
| dc.subject.lcsh | Finance | |
| dc.subject.lcsh | Jump processes. | |
| dc.subject.lcsh | Markov processes. | |
| dc.title | Bid-ask price models under a markovian regime-switching environment / | |
| dc.type | thesis | |
| dcterms.accessRights | 506 0#$fstar $2Unrestricted online access | |
| ror.fileinfo | 12238317170001831 13238317160001831 Dela Vega, Engel John - Thesis | |
| ror.mmsid | 9916595949601831 |
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