Option valuation by a self-exciting threshold binomial model (Q462735): Difference between revisions

@@ Property / DOI @@
-.1016/j.mcm.2012.07.014
@@ Property / DOI: 10.1016/j.mcm.2012.07.014 / rank @@
-Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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@@ Property / zbMATH DE Number @@
+6359523
@@ Property / zbMATH DE Number: 6359523 / rank @@
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@@ Property / zbMATH Keywords @@
+option valuation
@@ Property / zbMATH Keywords: option valuation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+threshold principle
@@ Property / zbMATH Keywords: threshold principle / rank @@
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@@ Property / zbMATH Keywords @@
+self-exciting
@@ Property / zbMATH Keywords: self-exciting / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+binomial models
@@ Property / zbMATH Keywords: binomial models / rank @@
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@@ Property / zbMATH Keywords @@
+trinomial extensions
@@ Property / zbMATH Keywords: trinomial extensions / rank @@
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@@ Property / zbMATH Keywords @@
+regime switching
@@ Property / zbMATH Keywords: regime switching / rank @@
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@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.mcm.2012.07.014
+Normal rank
@@ Property / OpenAlex ID @@
+W1979489869
@@ Property / OpenAlex ID: W1979489869 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
+Normal rank
@@ Property / cites work @@
+An explicit finite difference approach to the pricing of barrier options
+Normal rank
@@ Property / cites work @@
+Multinomial Approximating Models for Options with k State Variables
+Normal rank
@@ Property / cites work @@
+Information and option pricings
@@ Property / cites work: Information and option pricings / rank @@
+Normal rank
@@ Property / cites work @@
+Q4438197
@@ Property / cites work: Q4438197 / rank @@
+Normal rank
@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+A game theoretic approach to option valuation under Markovian regime-switching models
+Normal rank
@@ Property / cites work @@
+A simple approach for pricing equity options with Markov switching state variables
+Normal rank
@@ Property / cites work @@
+Option Pricing in a Jump-Diffusion Model with Regime Switching
+Normal rank
@@ Property / cites work @@
+Q3893184
@@ Property / cites work: Q3893184 / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.MCM.2012.07.014
@@ Property / DOI: 10.1016/J.MCM.2012.07.014 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:462735