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Issue Date
Title
Author(s)
2010
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Elliott, R.
;
Siu, T.
2011
A risk-based approach for pricing American options under a generalized Markov regime-switching model
Elliott, R.
;
Siu, T.
Discover
Author
2
Elliott, R.
Subject
1
American contingent claims
1
Change of measures
1
Economic risk
1
Financial risk
1
HJBI variational inequalities
1
Regime-switching HJB equation
1
Risk minimization
1
Risk-based pricing
Date issued
1
2011
1
2010