Risk measures for derivatives with Markov-modulated pure jump processes (Q2643673)
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scientific article; zbMATH DE number 5182996
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| English | Risk measures for derivatives with Markov-modulated pure jump processes |
scientific article; zbMATH DE number 5182996 |
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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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0.8562783002853394
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0.7740058898925781
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0.7732129096984863
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0.7729001045227051
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0.7724229097366333
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