Analytical valuation of compound options under regime-switching dynamics
Year of publication: |
2021
|
---|---|
Authors: | Breton, Michèle ; Ndoye, Mbaye |
Published in: |
The journal of derivatives : JOD. - London : IPR Journals, ISSN 2168-8524, ZDB-ID 2048690-X. - Vol. 29.2021, 2, p. 120-148
|
Subject: | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model |
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