Assessing the costs of protection in a context of switching stochastic regimes

DOI10.1080/1350486X.2011.642615MaRDI QIDQ5363230zbMATH OpenFDO

Authors Pauline Barrieu, Nadine Bellamy, Jean Michel Sahut

Publication date 5 October 2017

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486X.2011.642615

zbMATH Keywords

costs assessmenthedgingprovisionstochastic regimes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91G99)

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