Option pricing under regime switching : integration over simplexes method
Year of publication: |
March 2018
|
---|---|
Authors: | Jang, Bong-Gyu ; Tae, Hyeon-Wuk |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 24.2018, p. 301-312
|
Subject: | Commodity option | Integration over simplex | Option pricing | Regime switch | Stochastic volatility | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain |
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