A Lattice Method for Lookback Options with Regime-Switching Volatility
Year of publication: |
2012
|
---|---|
Authors: | Yoon, Ji Hee |
Other Persons: | Choi, U. Jin (contributor) ; Lim, Byung Hwa (contributor) ; Jang, Bong-Gyu (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Markov-Kette | Markov chain |
Extent: | 1 Online-Ressource (27 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 24, 2011 erstellt |
Other identifiers: | 10.2139/ssrn.1523634 [DOI] |
Classification: | C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Ma, Jingtang, (2021)
-
Ma, Jingtang, (2020)
-
The Markov-Switching Jump Diffusion Libor Market Model
Borchert, Lea, (2018)
- More ...
-
Lim, Byung Hwa, (2010)
-
Analytic valuation formulas for range notes and an affine term structure model with jump risks
Jang, Bong-gyu, (2010)
-
An analytic valuation method for multivariate contingent claims with regime-switching volatilities
Yoon, Ji Hee, (2011)
- More ...