OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
Year of publication: |
2006
|
---|---|
Authors: | ELLIOTT, ROBERT J. ; SIU, TAK KUEN ; CHAN, LEUNGLUNG |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 09.2006, 06, p. 825-841
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Markov switching conditional Esscher transform | Markov switching Heston-Nandi's GARCH model | recursive formula | analytical option valuation |
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