A PDE approach for risk measures for derivatives with regime switching

Robert J. Elliott; Tak Kuen Siu; Leunglung Chan

Year of publication:	2008
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
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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