| dc.date.accessioned | 2013-03-12T08:18:26Z | |
| dc.date.available | 2013-03-12T08:18:26Z | |
| dc.date.issued | 2011 | en_US |
| dc.date.submitted | 2011-04-07 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10161 | |
| dc.description.abstract | In this paper, the option hedging problem for a Markov-modulated exponential Lévy model is examined. We employ the local risk-minimization approach to study optimal hedging strategies for Europeans derivatives under both full information and then partial information. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2011). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | LOCAL RISK-MINIMIZATION UNDER A PARTIALLY OBSERVED MARKOV-MODULATED EXPONENTIAL LÉVY MODEL | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2012-07-20 | en_US |
| dc.rights.holder | Copyright 2011 The Author(s) | |
| dc.creator.author | Momeya, Romuald | en_US |
| dc.creator.author | Menoukeu Pamen, Olivier | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-27551 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 115035 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10161/1/05-11-pure-math.pdf | |