Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process
Year of publication: |
2012
|
---|---|
Authors: | François, Pascal ; Gauthier, Geneviève ; Godin, Frédéric |
Institutions: | Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) |
Subject: | Dynamic programming | hedging | risk management | regime switching |
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