Portfolio strategy of financial market with regime switching driven by geometric Lévy process

DOI10.1155/2014/538041zbMath1406.91430OpenAlexW2130258445WikidataQ59039261 ScholiaQ59039261MaRDI QIDQ1724346

Zhijie Wang, Liuwei Zhou

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/538041

zbMATH Keywords

PDEregime switchingEuropean optionsgeometric Lévy processportfolio strategy

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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