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Optimal control of risk process in a regime switching environment
Regime switching diffusion continuity value function exit time
2010/10/21
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism...
We consider option pricing in a regime-switching market. As the market is incomplete, there is no unique price for a derivative. We apply the good-deal bounds idea to obtain ranges for the price of a...