Hedging of contingent claims written on non traded assets under Markov-modulated models
DOI10.1080/03610926.2014.904355zbMath1343.60118OpenAlexW2346908855MaRDI QIDQ5739175
Wei Wang, Wen Sheng Wang, Lin-Yi Qian
Publication date: 15 July 2016
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2014.904355
hedgingMonte Carlo simulationscontingent claimsnon-traded assetslocal risk minimizationMarkov-modulated models
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Continuous-time Markov processes on discrete state spaces (60J27) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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