Pricing dynamic fund protections with regime switching

This paper deals with the valuation of dynamic fund protections in a Markov regime-switching environment. The volatility switches over time subject to a continuous-time Markov chain. Using a regime-switching diffusion process to describe the primary mutual fund value, explicit solutions of the Lapla...

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Veröffentlicht in:	Journal of computational and applied mathematics 2016-05, Vol.297, p.13-25
Hauptverfasser:	Jin, Zhuo, Qian, Linyi, Wang, Wei, Wang, Rongming
Format:	Artikel
Sprache:	eng
Schlagworte:	Diffusion Dynamic fund protection Dynamics Exact solutions Markov chain approximation Markov chains Markov processes Martingale technique Mathematical analysis Mathematical models Nonlinear dynamics
Online-Zugang:	Volltext
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