PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING (Q5488980)
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scientific article; zbMATH DE number 5056727
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING |
scientific article; zbMATH DE number 5056727 |
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PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING (English)
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25 September 2006
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portfolio insurance
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regime switching
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volatility clustering
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free-boundary problem
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local time
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generalized Itô's lemma
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