European option pricing with market frictions, regime switches and model uncertainty
Year of publication: |
2023
|
---|---|
Authors: | Siu, Tak Kuen |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 113.2023, p. 233-250
|
Subject: | Esscher transform | Model uncertainty | Option pricing | Regime switching | Transaction costs |
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