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"Optimal hedging when the underlying asset follows a regime-switching ..."

Pascal François, Geneviève Gauthier, Fréderic Godin (2014)

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DOI: 10.1016/J.EJOR.2014.01.034

access: closed

type: Journal Article

metadata version: 2020-02-21

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Pascal François, Geneviève Gauthier, Fréderic Godin:
Optimal hedging when the underlying asset follows a regime-switching Markov process. Eur. J. Oper. Res. 237(1): 312-322 (2014)

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