A PDE approach for risk measures for derivatives with regime switching (Q665800): Difference between revisions
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Revision as of 20:15, 29 February 2024
scientific article
| Language | Label | Description | Also known as |
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| English | A PDE approach for risk measures for derivatives with regime switching |
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A PDE approach for risk measures for derivatives with regime switching (English)
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6 March 2012
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risk measures
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regime-switching PDE
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regime-switching HJB equation
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stochastic optimal control
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Esscher transform
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delta-neutral hedging
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jump risk
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American options
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exotic options
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