Option pricing under regime-switching models : novel approaches removing path-dependence
Frédéric Godin, Van Son Lai, Denis-Alexandre Trottier
| Year of publication: |
2019
|
|---|---|
| Authors: | Godin, Frédéric ; Lai, Van Son ; Trottier, Denis-Alexandre |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 87.2019, p. 130-142
|
| Subject: | Option pricing | Regime-switching models | Hidden Markov models | Esscher transform | Path-dependence | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.04.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012058933