A discrete-time approach to evaluate path-dependent derivatives in a regime-switching risk model
Year of publication: |
2020
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Authors: | Russo, Emilio |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 8.2020, 1/9, p. 1-22
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Subject: | binomial lattices | discrete-time models | insurance policies | market risk | path-dependent derivatives | regime-switching risk | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Risiko | Risk | Risikomanagement | Risk management | Markov-Kette | Markov chain |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8010009 [DOI] hdl:10419/257964 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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