PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS (Q5416703)
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scientific article; zbMATH DE number 6295265
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS |
scientific article; zbMATH DE number 6295265 |
Statements
PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS (English)
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14 May 2014
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credit risk
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regime-switching models
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option pricing
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vulnerable claims
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semimartingale representations
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