A PDE approach for risk measures for derivatives with regime switching

Robert Elliott (), Tak Kuen Siu and Leunglung Chan

Annals of Finance, 2008, vol. 4, issue 1, 55-74

Keywords: Risk measures; Regime-switching PDE; Regime-switching HJB equation; Stochastic optimal control; Esscher transform; Delta-neutral hedging; Jump risk; American options; Exotic options; G32; G13 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (8)

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DOI: 10.1007/s10436-006-0068-5

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