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Risk measures for derivatives with Markov-modulated pure jump processes
Elliott, Robert
;
Chan, Leunglung
;
Siu, Tak
- In:
Asia-Pacific Financial Markets
13
(
2006
)
2
,
pp. 129-149
regime-switching
HJB
equations
for coherent risk measures for the unhedged position of derivative securities, including …
Persistent link: https://www.econbiz.de/10005727024
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