Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
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Publication:2356875
DOI10.3934/dcdsb.2017100zbMath1414.91389OpenAlexW2596270135MaRDI QIDQ2356875
Publication date: 7 June 2017
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdsb.2017100
game theorybackward stochastic differential equationsconvex risk measuresoption valuationEsscher transformsnon-Markovian regime-switching jump diffusion
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Related Items (5)
Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model ⋮ A functional Itô's calculus approach to convex risk measures with jump diffusion ⋮ Variance swap pricing under Markov-modulated jump-diffusion model ⋮ Mean-variance portfolio selection under a non-Markovian regime-switching model ⋮ Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
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