A hidden Markov regime-switching model for option valuation
Year of publication: |
2010
|
---|---|
Authors: | Liew, Chuin Ching ; Siu, Tak Kuen |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 47.2010, 3, p. 374-384
|
Subject: | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory |
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