Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process
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More about this item
KeywordsDynamic programming; hedging; risk management; regime switching;
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-09 (All new papers)
- NEP-ORE-2012-09-09 (Operations Research)
- NEP-RMG-2012-09-09 (Risk Management)
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