A discrete-time approach to evaluate path-dependent derivatives in a regime-switching risk model
Year of publication: |
2020
|
---|---|
Authors: | Russo, Emilio |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 8.2020, 1, p. 1-22
|
Publisher: |
Basel : MDPI |
Subject: | binomial lattices | discrete-time models | insurance policies | market risk | path-dependent derivatives | regime-switching risk |
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