Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models
DOI10.1080/07362994.2016.1166061zbMath1344.49031MaRDI QIDQ3185983
Zhuo Jin, Wei Wang, Xiaonan Su, Lin-Yi Qian
Publication date: 8 August 2016
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2016.1166061
regime switching; Monte Carlo simulation; continuous-time Markov chain; default risk; local risk minimization; non-tradable assets; European contingent claims
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
60J27: Continuous-time Markov processes on discrete state spaces
49J55: Existence of optimal solutions to problems involving randomness
60J28: Applications of continuous-time Markov processes on discrete state spaces
