Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors

DOI10.1016/J.JMAA.2019.04.011MaRDI QIDQ2633877zbMATH OpenOpenAlexWikidataFDO

Authors Jacek Jakubowski, Mariusz Niewęgłowski

Publication date 10 May 2019

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2019.04.011

zbMATH Keywords

Cauchy and Dirichlet problemsexponential Lévy model with regime switchingjump-diffusion market modelpayments streamrandom environmentrisk minimization

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(2)

• Pricing and hedging of rating-sensitive claims modeled by \(\mathbb{F}\)-doubly stochastic Markov chains
• Risk-based premium evaluation with jump diffusion process for PBGC

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