A model for stock price fluctuations based on information

DOI10.1109/TIT.2002.1003827MaRDI QIDQ4674512zbMATH OpenOpenAlexFDO

Authors Larry Shepp

Publication date 11 May 2005

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tit.2002.1003827

Mathematics Subject Classification ID

Information theory (general) (94A15)

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• Stock loan valuation under a regime-switching model with mean-reverting and finite maturity
• Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
• Difference equations with random delay
• Optimal buying at the global minimum in a regime switching model
• Real options approach for fashionable and perishable products using stock loan with regime switching
• Quantile hedging for guaranteed minimum death benefits with regime switching

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