A PDE approach for risk measures for derivatives with regime switching
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Volume (Year): 4 (2008)
Issue (Month): 1 (January)
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- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Robert J. Elliott & John van der Hoek, 1997. "An application of hidden Markov models to asset allocation problems (*)," Finance and Stochastics, Springer, vol. 1(3), pages 229-238.
- Robert J. Elliott & Leunglung Chan & Tak Kuen Siu, 2005. "Option pricing and Esscher transform under regime switching," Annals of Finance, Springer, vol. 1(4), pages 423-432, October.
- X. Guo, 2001. "Information and option pricings," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 38-44.
- Elliott, R. J. & Malcolm, W. P. & Tsoi, Allanus H., 2003. "Robust parameter estimation for asset price models with Markov modulated volatilities," Journal of Economic Dynamics and Control, Elsevier, vol. 27(8), pages 1391-1409, June.
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