Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (Q3592749): Difference between revisions
From MaRDI portal
Latest revision as of 09:09, 27 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model |
scientific article |
Statements
Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (English)
0 references
21 September 2007
0 references
American options
0 references
completely random measures
0 references
Esscher transform
0 references
European options
0 references
generalized gamma process
0 references
jump-diffusion
0 references
option pricing
0 references
regime switching
0 references
0 references
0 references
0 references