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scientific article; zbMATH DE number 7028937 - MaRDI portal

scientific article; zbMATH DE number 7028937

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Publication:4624724

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DOI10.12084/J.ISSN.2096-3289.2018.02.005zbMath1424.91141MaRDI QIDQ4624724

Chao Xu, Yinghui Dong

Publication date: 22 February 2019

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Laplace transform common shocks dynamic fund protection stochastic boundary hyper-exponential jump-diffusion model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

Related Items (1)

Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level

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