Local risk-minimization under Markov-modulated exponential Lévy model (Q2947346)
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scientific article; zbMATH DE number 6484382
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| English | Local risk-minimization under Markov-modulated exponential Lévy model |
scientific article; zbMATH DE number 6484382 |
Statements
LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL (English)
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22 September 2015
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local risk-minimization
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partial information
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Lévy process
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regime-switching
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hedging strategy
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integral representation theorem
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0.8976271152496338
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0.8363076448440552
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0.8294618129730225
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0.816096305847168
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0.8151415586471558
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