Optimal investment of variance-swaps in jump-diffusion market with regime-switching
type: Item
instance of: scholarly article
title: Optimal investment of variance-swaps in jump-diffusion market with regime-switching
zbMATH Open document ID: 1401.91509
author: Dan Tang
author: Lijun Bo
author: Yongjin Wang
publication date: 2018-08-09T00:00:00Z
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6915683
zbMATH Keywords: jump-diffusion
zbMATH Keywords: regime-switching
zbMATH Keywords: variance swaps
zbMATH Keywords: optimal investment
MaRDI profile type: Publication
full work available at URL: j.jedc.2017.08.003
OpenAlex ID: W2750488053
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DOI: 10.1016/J.JEDC.2017.08.003
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6915683