Attainable contingent claims in a Markovian regime-switching market
Year of publication: |
2012
|
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Authors: | Elliott, Robert J. ; Siu, Tak Kuen |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 8, p. 1-19
|
Subject: | Contingent claims | Attainability | Hedging | Markovian regime switching models | Martingale representation | Exotic options | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | CAPM | Martingal | Martingale | Optionsgeschäft | Option trading |
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