Option pricing in regime-switching frameworks with the Extended Girsanov Principle
Year of publication: |
2021
|
---|---|
Authors: | Godin, Frédéric ; Trottier, Denis-Alexandre |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 99.2021, p. 116-129
|
Subject: | Extended Girsanov Principle | Hidden Markov Models | Implied volatility surfaces | Option pricing | Path-dependence | Regime-switching | Variable annuities | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Markov-Kette | Markov chain |
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