Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models

DOI10.1080/07362994.2016.1166061zbMath1344.49031OpenAlexW2417065969MaRDI QIDQ3185983

Xiaonan Su, Zhuo Jin, Wei Wang, Lin-Yi Qian

Publication date: 8 August 2016

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2016.1166061

zbMATH Keywords

regime switchingMonte Carlo simulationcontinuous-time Markov chaindefault risklocal risk minimizationnon-tradable assetsEuropean contingent claims

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Continuous-time Markov processes on discrete state spaces (60J27) Existence of optimal solutions to problems involving randomness (49J55) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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Cites Work

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