Hedging of contingent claims written on non traded assets under Markov-modulated models (Q5739175)
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scientific article; zbMATH DE number 6603646
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hedging of contingent claims written on non traded assets under Markov-modulated models |
scientific article; zbMATH DE number 6603646 |
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Hedging of contingent claims written on non traded assets under Markov-modulated models (English)
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15 July 2016
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hedging
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contingent claims
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non-traded assets
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Markov-modulated models
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local risk minimization
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Monte Carlo simulations
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0.8767605
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0.8760833
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0.87597287
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0.8715296
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