Option pricing under regime switching (Q4646774): Difference between revisions

@@ Property / author @@
-Jin-Chuan Duan
@@ Property / author: Jin-Chuan Duan / rank @@
-Normal rank
@@ Property / author @@
-Peter H. Ritchken
@@ Property / author: Peter H. Ritchken / rank @@
-Normal rank
@@ Property / author @@
+Jin-Chuan Duan
@@ Property / author: Jin-Chuan Duan / rank @@
+Normal rank
@@ Property / author @@
+Peter H. Ritchken
@@ Property / author: Peter H. Ritchken / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1088/1469-7688/2/2/303
+Normal rank
@@ Property / OpenAlex ID @@
+W2113398415
@@ Property / OpenAlex ID: W2113398415 / rank @@
+Normal rank
@@ Property / cites work @@
+THE GARCH OPTION PRICING MODEL
@@ Property / cites work: THE GARCH OPTION PRICING MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Augmented GARCH\((p,q)\) process and its diffusion limit
+Normal rank
@@ Property / cites work @@
+Empirical Martingale Simulation for Asset Prices
@@ Property / cites work: Empirical Martingale Simulation for Asset Prices / rank @@
+Normal rank
@@ Property / cites work @@
+American option pricing under GARCH by a Markov chain approximation
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4646774