Risk measures for derivatives with Markov-modulated pure jump processes (Q2643673): Difference between revisions
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Revision as of 02:31, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk measures for derivatives with Markov-modulated pure jump processes |
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Risk measures for derivatives with Markov-modulated pure jump processes (English)
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27 August 2007
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coherent risk measures
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pure jump processes
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Esscher transform
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jump risk
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American options
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exotic options
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regime-switching HJB equations
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combined optimal stopping and control
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HJB-variational inequalities
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