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Assessing the Costs of Protection in a Context of Switching Stochastic Regimes |
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| Authors: | Pauline Barrieu Nadine Bellamy Jean-Michel Sahut |
| Institution: | 1. Department of Statistics , London School of Economics , Houghton Street, WC2A 2AE , London , UK p.m.barrieu@lse.ac.uk;3. Equipe d'Analyse et Probabilités, Université d'Evry Val d'Essonne , Rue du Père Jarlan , 91025 , Evry Cedex , France;4. Geneva School of Business Administration, University of Applied Sciences , Geneva , Switzerland |
| Abstract: | |
| Keywords: | Provision hedging costs assessment stochastic regimes |