Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors
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Publication:2633877
DOI10.1016/j.jmaa.2019.04.011zbMath1411.91564OpenAlexW2934766457WikidataQ128094033 ScholiaQ128094033MaRDI QIDQ2633877
Jacek Jakubowski, Mariusz Andrzej Niewȩgłowski
Publication date: 10 May 2019
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2019.04.011
random environmentrisk minimizationCauchy and Dirichlet problemsjump-diffusion market modelexponential Lévy model with regime switchingpayments stream
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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