A generalized Esscher transform for option valuation with regime switching risk
Year of publication: |
2022
|
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Authors: | Elliott, Robert J. ; Siu, Tak Kuen |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 4, p. 691-705
|
Subject: | Generalized Esscher transform | Martingale condition | Option pricing | Regime switching risk | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Martingal | Martingale |
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