Optimal investment of variance-swaps in jump-diffusion market with regime-switching
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Publication:1655762
DOI10.1016/j.jedc.2017.08.003zbMath1401.91509OpenAlexW2750488053MaRDI QIDQ1655762
Dan Tang, Li Jun Bo, Yong Jin Wang
Publication date: 9 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2017.08.003
Related Items (3)
Markov chain approximation and measure change for time-inhomogeneous stochastic processes ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump
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