Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Reference23 articles.
1. American options with regime switching;Buffngton;International Journal of Theoretical and Applied Finance,2002
2. Capponi, A., Figueroa-López, J.E., 2011. Dynamic portfolio optimization with a defaultable security and regime switching. Working Paper.
3. Pension funding problem with regime-switching geometric Brownian motion assets and liabilities;Chen;Applied Stochastic Models in Business and Industry,2010
4. Markowitz’s mean–variance asset-liability management with regime switching: a continuous-time model;Chen;Insurance: Mathematics and Economics,2008
5. Infectious defaults;Davis;Quantitative Finance,2001
Cited by
33 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献