Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Dong-Mei Zhu, Jiejun Lu, Wai-Ki Ching, Tak-Kuen Siu
| Year of publication: |
2019
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|---|---|
| Authors: | Zhu, Dong-Mei ; Lu, Jiejun ; Ching, Wai Ki ; Siu, Tak Kuen |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 53.2019, 2, p. 555-586
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| Subject: | Characteristic function | Fourier transformation | Hidden Markov model (HMM) | Option pricing | Regime-switching | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-017-9754-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012134818