Pages that link to "Item:Q431920"
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The following pages link to The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model (Q431920):
Displaying 6 items.
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model (Q267876) (← links)
- A sparse Markov chain approximation of LQ-type stochastic control problems. (Q326794) (← links)
- On the price of risk under a regime switching CGMY process (Q1627726) (← links)
- Lévy systems and the time value of ruin for Markov additive processes (Q1936473) (← links)
- Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models (Q5079360) (← links)
- Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model (Q5086465) (← links)
