A reduced lattice model for option pricing under regime-switching
Year of publication: |
2014
|
---|---|
Authors: | Costabile, Massimo ; Leccadito, Arturo ; Massabo, Ivar ; Russo, Emilio |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 42.2014, 4, p. 667-690
|
Subject: | Option pricing | Regime-switching | Binomial lattice | Discrete time models | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Volatilität | Volatility |
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