Asset prices with regime-switching variance gamma dynamics
Year of publication: |
2009
|
---|---|
Authors: | Royal, Andrew J. ; Elliott, Robert J. |
Published in: |
Mathematical modeling and numerical methods in finance : special volume. - Amsterdam [u.a.] : Elsevier, North-Holland, ISBN 978-0-444-51879-8. - 2009, p. 685-710
|
Subject: | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Simulation | Börsenkurs | Share price | USA | United States |
-
Option pricing for pure jump processes with Markov switching compensators
Elliott, Robert J. R., (2006)
-
Gelʹman, Sergej V., (2007)
-
Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J., (2014)
- More ...
-
Stochastic processes, finance and control : a Festschrift in honor of Robert J. Elliott
Cohen, Samuel N., (2012)
-
Malliavin calculus in a binomial framework
Cohen, Samuel N., (2018)
-
Analytical solutions to the pricing of American bond and yield options
Chesney, Marc, (1991)
- More ...