Assessing the Costs of Protection in a Context of Switching Stochastic Regimes

DOI10.1080/1350486X.2011.642615zbMath1372.91129MaRDI QIDQ5363230

Nadine Bellamy, Pauline Barrieu, Jean Michel Sahut

Publication date: 5 October 2017

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

hedgingprovisionstochastic regimescosts assessment

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Actuarial science and mathematical finance (91G99)

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