Option pricing for GARCH models with Markov switching
Robert J. Elliott; Tak Kuen Siu; Leunglung Chan
| Year of publication: |
2006
|
|---|---|
| Authors: | Elliott, Robert J. ; Siu, Tak Kuen ; Chan, Leunglung |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 9.2006, 6, p. 825-841
|
| Subject: | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003380278