Optimal hedging when the underlying asset follows a regime-switching Markov process
Pascal François; Geneviève Gauthier; Frédéric Godin
| Year of publication: |
2014
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|---|---|
| Authors: | François, Pascal ; Gauthier, Geneviève ; Godin, Frédéric |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 237.2014, 1 (16.8.), p. 312-322
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| Subject: | Dynamic programming | Hedging | Risk management | Regime switching | Markov-Kette | Markov chain | Risikomanagement | Theorie | Theory | Portfolio-Management | Portfolio selection | Dynamische Optimierung |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10010378599