A PDE approach for risk measures for derivatives with regime switching
DOI10.1007/s10436-006-0068-5zbMath1233.91271MaRDI QIDQ665800
Tak Kuen Siu, Robert J. Elliott, Leunglung Chan
Publication date: 6 March 2012
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-006-0068-5
stochastic optimal control; American options; jump risk; risk measures; exotic options; Esscher transform; regime-switching HJB equation; delta-neutral hedging; regime-switching PDE
91G20: Derivative securities (option pricing, hedging, etc.)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
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