A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models
Year of publication: |
2018
|
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Authors: | Nguyen, Duy |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 4, p. 1-30
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Subject: | Regime-switching model | recombining tree | options pricing | jump diffusion | Markov chain approximation | stochastic volatility model | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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