Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model
Year of publication: |
2014
|
---|---|
Authors: | Chen, Son-Nan ; Chiang, Mi-Hsiu ; Hsu, Pao-Peng ; Li, Chang-Yi |
Published in: |
Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 11.2014, 2, p. 161-172
|
Publisher: |
Elsevier |
Subject: | HJM | Markov chain | Esscher transform | Quanto options |
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