Asset allocation under stochastic interest rate with regime switching
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References listed on IDEAS
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- Jinzhi Li & Haiying Liu, 2015. "Optimal Investment for the Insurers in Markov-Modulated Jump-Diffusion Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 143-156, June.
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- Shen, Yang & Siu, Tak Kuen, 2013. "Pricing bond options under a Markovian regime-switching Hull–White model," Economic Modelling, Elsevier, vol. 30(C), pages 933-940.
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More about this item
KeywordsStochastic interest rate; Regime-switching; Stochastic flows; Dynamic programming principle; HJB equation;
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