The following pages link to The Markov Chain Market (Q4661683):
Displaying 16 items.
- An optimal mean-reversion trading rule under a Markov chain model (Q326803) (← links)
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market (Q378275) (← links)
- Explicit solutions for an optimal stock selling problem under a Markov chain model (Q401059) (← links)
- On a Markov chain approximation method for option pricing with regime switching (Q747024) (← links)
- Optimal stopping behavior of equity-linked investment products with regime switching (Q817296) (← links)
- MDP algorithms for portfolio optimization problems in pure jump markets (Q964693) (← links)
- Asset allocation with contagion and explicit bankruptcy procedures (Q999740) (← links)
- Integration by parts and martingale representation for a Markov chain (Q1724128) (← links)
- Optimal hedging of demographic risk in life insurance (Q1936833) (← links)
- Dynamic Greeks (Q2507616) (← links)
- Interest Guarantees in Banking (Q3375371) (← links)
- On a generalization of the expected discounted penalty function in a discrete-time insurance risk model (Q3552648) (← links)
- Time-Coherent Risk Measures for Continuous-Time Markov Chains (Q4579838) (← links)
- Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions (Q4648515) (← links)
- A Note on Differentiability in a Markov Chain Market Using Stochastic Flows (Q4981997) (← links)
- The Minimal Entropy Martingale Measure for Exponential Markov Chains (Q5299561) (← links)
