A risk-based approach for pricing American options under a generalized Markov regime-switching model (Q2866377)
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scientific article; zbMATH DE number 6238221
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A risk-based approach for pricing American options under a generalized Markov regime-switching model |
scientific article; zbMATH DE number 6238221 |
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A risk-based approach for pricing American options under a generalized Markov regime-switching model (English)
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13 December 2013
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risk-based pricing
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American contingent claims
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stochastic differential game
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economic risk
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financial risk
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convex risk measure
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HJBI variational inequalities
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