LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL
DOI10.1142/S0219024915500338zbMath1337.91106OpenAlexW1190525645MaRDI QIDQ2947346
Romuald Hervé Momeya, Olivier Menoukeu Pamen
Publication date: 22 September 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024915500338
Lévy processpartial informationregime-switchinghedging strategylocal risk-minimizationintegral representation theorem
Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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