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Optimal hedging when the underlying asset follows a regime-switching Markov process.
Pascal François
Geneviève Gauthier
Fréderic Godin
Published in:
Eur. J. Oper. Res. (2014)
Keyphrases
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markov process
markov chain
stochastic process
markov processes
optimal solution
financial markets
dynamic programming
optimal control
social networks
transaction costs
sufficient conditions
transition probabilities
state space
stationary distribution