Utility-based indifference pricing in regime-switching models (Q640157): Difference between revisions
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Revision as of 01:51, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Utility-based indifference pricing in regime-switching models |
scientific article |
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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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