A PDE approach for risk measures for derivatives with regime switching
| Year of publication: |
2008
|
|---|---|
| Authors: | Elliott, Robert ; Siu, Tak ; Chan, Leunglung |
| Published in: |
Annals of Finance. - Springer. - Vol. 4.2008, 1, p. 55-74
|
| Publisher: |
Springer |
| Subject: | Risk measures | Regime-switching PDE | Regime-switching HJB equation | Stochastic optimal control | Esscher transform | Delta-neutral hedging | Jump risk | American options | Exotic options |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005701367