Option pricing and Esscher transform under regime switching
Year of publication: |
2005
|
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Authors: | Elliott, Robert J. ; Chan, Leunglung ; Siu, Tak Kuen |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 1.2005, 4, p. 423-432
|
Subject: | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Theorie | Theory |
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