Option pricing with Markov switching stochastic volatility models
Year of publication: |
2020
|
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Authors: | Cheng, Yiying |
Published in: |
Advances in Pacific Basin business, economics, and finance. - Bingley, UK : Emerald Publishing, ISSN 2514-4650, ZDB-ID 1293820-8. - Vol. 8.2020, p. 53-63
|
Subject: | Option pricing | stochastic volatility | GARCH | Markov switching multifractal | forecasting power | component driven regime switching | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model |
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