Option pricing using a regime switching stochastic discount factor
Robert Elliott; Ahmed S. Hamada
| Year of publication: |
2014
|
|---|---|
| Authors: | Elliott, Robert J. ; Hamada, Ahmed S. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 3, p. 1-26
|
| Subject: | Stochastic discount factor | option pricing | regime switching | continuous time Markov chain | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Diskontierung | Discounting | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010364754