LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL

DOI10.1142/S0219024915500338zbMath1337.91106OpenAlexW1190525645MaRDI QIDQ2947346

Romuald Hervé Momeya, Olivier Menoukeu Pamen

Publication date: 22 September 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024915500338

zbMATH Keywords

Lévy processpartial informationregime-switchinghedging strategylocal risk-minimizationintegral representation theorem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (1)

Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization

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