Optimal Portfolio in a Regime-switching Model (Q5746536): Difference between revisions

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+https://doi.org/10.1007/978-3-0348-0545-2_22
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+W275374818
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+Option-based risk management of a bond portfolio under regime switching interest rates
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+Rational hedging and valuation of integrated risks under constant absolute risk aversion.
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+Utility–indifference hedging and valuation via reaction–diffusion systems
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+Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
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+Arbitrage Theory in Continuous Time
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+Pricing exotic options under regime switching
@@ Property / cites work: Pricing exotic options under regime switching / rank @@
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+DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
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+PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS
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+The Evaluation of Gas Swing Contracts with Regime Switching
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+Financial Modelling with Jump Processes
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+Q4032143
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+Information and option pricings
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+Handbook of Volatility Models and Their Applications
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+Q3613975
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+NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
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+Applied stochastic control of jump diffusions.
@@ Property / cites work: Applied stochastic control of jump diffusions. / rank @@
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+In which financial markets do mutual fund theorems hold true?
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+Q5297394
@@ Property / cites work: Q5297394 / rank @@
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+Publication:5746536