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Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/170484
Description: We study the pricing and hedging of contingent claims in a Markov regime-switching market with a money market account, a zero-coupon bond, and an ordinary share. General contingent claims with payoffs ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/163441
Description: In this paper, we study utility-based indifference pricing and hedging of a contingent claim in a continuous-time, Markov, regime-switching model. The market in this model is incomplete, so there is m ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138019
Description: A risk minimization problem is considered in a continuous-time Markovian regime-switching financial model modulated by a continuous-time, finite-state, Markov chain. We interpret the states of the cha ... More
Reviewed: Reviewed
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