Work

Optimal hedging when the underlying asset follows a regime-switching Markov process

Year: 2014

Type: article

Source: European Journal of Operational Research

DOI: 10.1016/j.ejor.2014.01.034

Authors: Pascal François, Geneviève Gauthier, Frédéric Godin

Institutions: HEC Montréal, Group for Research in Decision Analysis

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2270565331

FWCI: 5.492

Cites: 35

Cited by: 27

Related to: 10