On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model

DOI10.1007/s11009-014-9399-2zbMath1411.91576OpenAlexW1963728230MaRDI QIDQ267876

Romuald Hervé Momeya, Manuel Morales

Publication date: 12 April 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-014-9399-2

zbMATH Keywords

equivalent martingale measureincomplete marketsinsurance and finance applicationsregime-switching Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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