Optimal investment of variance-swaps in jump-diffusion market with regime-switching-Reference-Cited by-同舟云学术

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Optimal investment of variance-swaps in jump-diffusion market with regime-switching

Published:2017-10 Issue: Volume:83 Page:175-197
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Bo Lijun,Tang Dan,Wang Yongjin

Funder

NSF

CAS

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference24 articles.

1. Portfolio choice with jumps: a closed form solution;Ait-Sahalia;Ann. Appl. Probab.,2009

2. Portfolio choice in markets with contagion;Ait-Sahalia;J. Financ. Econometr.,2016

3. Credit Risk: Modeling, Valuation and Hedging;Bielecki,2001

4. Exponential change of measure applied to term structures of interest rates and exchange rates;Bo;Insurance: Math. Econ.,2011

5. Markov-modulated jump-diffusions for currency option pricing;Bo;Insurance: Math. Econ.,2010

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1. Optimal investment and reinsurance strategies for an insurer with regime-switching;Mathematics and Financial Economics;2024-08-21

2. Option pricing in a sentiment-biased stochastic volatility model;Annals of Finance;2024-06-22

3. Markov chain approximation and measure change for time-inhomogeneous stochastic processes;Applied Mathematics and Computation;2021-03

4. Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump;Journal of Inequalities and Applications;2020-07-08

5. A Spectral Element Method for Option Pricing Under Regime-Switching with Jumps;Journal of Scientific Computing;2020-06

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