Pascal François, Geneviève Gauthier, Fréderic Godin. Optimal hedging when the underlying asset follows a regime-switching Markov process. European Journal of Operational Research, 237(1):312-322, 2014. [doi]
@article{FrancoisGG14,
title = {Optimal hedging when the underlying asset follows a regime-switching Markov process},
author = {Pascal François and Geneviève Gauthier and Fréderic Godin},
year = {2014},
doi = {10.1016/j.ejor.2014.01.034},
url = {http://dx.doi.org/10.1016/j.ejor.2014.01.034},
researchr = {https://researchr.org/publication/FrancoisGG14},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {237},
number = {1},
pages = {312-322},
}