Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model (Q2356875)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model |
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Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model (English)
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7 June 2017
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game theory
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option valuation
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non-Markovian regime-switching jump diffusion
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convex risk measures
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backward stochastic differential equations
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Esscher transforms
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