Regime switching affine processes with applications to finance
Year of publication: |
2020
|
---|---|
Authors: | Beek, Misha van ; Mandjes, Michel ; Spreij, Peter ; Winands, Erik |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 24.2020, 2, p. 309-333
|
Subject: | Affine processes | Regime switching | Markov modulation | Markov chain | Derivatives pricing | Markov-Kette | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
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