Utility-based indifference pricing in regime-switching models (Q640157)
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scientific article; zbMATH DE number 5959687
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| English | Utility-based indifference pricing in regime-switching models |
scientific article; zbMATH DE number 5959687 |
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Utility-based indifference pricing in regime-switching models (English)
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17 October 2011
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contingent claim valuation
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hedging
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regime-switching risk
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utility indifference
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product price kernel
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dynamic programming
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Markov regime-switching Hamilton-Jacobi-Bellman (HJB) equations
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exponential utility
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linear programming
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0.8427733182907104
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0.8075397610664368
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0.7969832420349121
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0.7937867641448975
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0.7932793498039246
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