A PDE approach for risk measures for derivatives with regime switching (Q665800)
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scientific article; zbMATH DE number 6012441
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| English | A PDE approach for risk measures for derivatives with regime switching |
scientific article; zbMATH DE number 6012441 |
Statements
A PDE approach for risk measures for derivatives with regime switching (English)
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6 March 2012
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risk measures
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regime-switching PDE
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regime-switching HJB equation
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stochastic optimal control
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Esscher transform
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delta-neutral hedging
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jump risk
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American options
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exotic options
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0.8562783002853394
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0.8547043204307556
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0.8041586875915527
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0.7898868322372437
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0.7831150889396667
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