A PDE approach for risk measures for derivatives with regime switching
Year of publication: |
2008
|
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Authors: | Elliott, Robert J. ; Siu, Tak Kuen ; Chan, Leunglung |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 4.2008, 1, p. 55-74
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Subject: | Optionsgeschäft | Option trading | Europa | Europe | USA | United States | Risiko | Risk | Messung | Measurement | Hedging | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model | Theorie | Theory |
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