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20082026
most citedOptimal investment and consumption in a Black--Scholes market with Lévy-driven stochastic coefficients

54 citations · 70 across the 7 of their papers we have counts for

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Showing 2013Show all

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q-fin.PR2013

Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims

Łukasz Delong, Antoon Pelsser

We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asse…