On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model (Q267876)
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scientific article; zbMATH DE number 6567257
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| English | On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model |
scientific article; zbMATH DE number 6567257 |
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On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model (English)
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12 April 2016
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regime-switching Lévy process
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incomplete markets
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equivalent martingale measure
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insurance and finance applications
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0.8695651888847351
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0.8315325379371643
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0.8189191222190857
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0.8177828788757324
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