Local risk-minimization under Markov-modulated exponential Lévy model
Olivier Menoukeu-Pamen; Romuald Momeya
| Year of publication: |
2015
|
|---|---|
| Authors: | Menoukeu-Pamen, Olivier ; Momeya, Romuald |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 5, p. 1-24
|
| Subject: | Local risk-minimization | partial information | Lévy process | regime-switching | hedging strategy | integral representation theorem | Hedging | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011403879