Option Pricing and CVaR Hedging in the Regime-Switching Telegraph Market Model (Q3193138): Difference between revisions

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-Alexander V. Melnikov
@@ Property / author: Alexander V. Melnikov / rank @@
-Normal rank
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+Alexander V. Melnikov
@@ Property / author: Alexander V. Melnikov / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/978-3-319-06653-0_21
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@@ Property / OpenAlex ID @@
+W223496102
@@ Property / OpenAlex ID: W223496102 / rank @@
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@@ Property / cites work @@
+Nonhomogeneous telegraph processes and their application to financial market modeling
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@@ Property / cites work @@
+On financial markets based on telegraph processes
@@ Property / cites work: On financial markets based on telegraph processes / rank @@
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@@ Property / cites work @@
+Dynamic hedging of conditional value-at-risk
@@ Property / cites work: Dynamic hedging of conditional value-at-risk / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:3193138