Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors (Q2633877)
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scientific article; zbMATH DE number 7053235
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| English | Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors |
scientific article; zbMATH DE number 7053235 |
Statements
Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors (English)
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10 May 2019
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jump-diffusion market model
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risk minimization
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payments stream
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Cauchy and Dirichlet problems
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random environment
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exponential Lévy model with regime switching
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0.8116292953491211
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0.8104603886604309
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0.7679202556610107
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0.7574571967124939
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0.7565048336982727
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