Utility-based indifference pricing in regime-switching models (Q640157): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1016/j.na.2011.06.009 / rank
 
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Latest revision as of 12:44, 4 July 2024

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Utility-based indifference pricing in regime-switching models
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    Utility-based indifference pricing in regime-switching models (English)
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    17 October 2011
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    contingent claim valuation
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    hedging
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    regime-switching risk
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    utility indifference
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    product price kernel
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    dynamic programming
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    Markov regime-switching Hamilton-Jacobi-Bellman (HJB) equations
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    exponential utility
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    linear programming
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