## Abstract In this paper we describe a new approach for determining timeβvarying minimum variance hedge ratio in stock index futures markets by using Markov Regime Switching (MRS) models. The rationale behind the use of these models stems from the fact that the dynamic relationship between spot an
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A PDE approach for risk measures for derivatives with regime switching
β Scribed by Robert J. Elliott; Tak Kuen Siu; Leunglung Chan
- Book ID
- 106332861
- Publisher
- Springer
- Year
- 2007
- Tongue
- English
- Weight
- 270 KB
- Volume
- 4
- Category
- Article
- ISSN
- 1614-2446
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