Romuald Hervé Momeya

Available identifiers

zbMath Open momeya.romuald-herveMaRDI QIDQ267874

List of research outcomes

Publication	Date of Publication	Type
Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model	2022-07-05	Paper
A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications	2017-10-09	Paper
On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model	2016-04-12	Paper
LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL	2015-09-22	Paper
The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model	2012-07-03	Paper

Research outcomes over time

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