An analytic valuation method for multivariate contingent claims with regime-switching volatilities (Q635506): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.orl.2011.02.010 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3124489661 / rank | |||
Normal rank | |||
Revision as of 23:57, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An analytic valuation method for multivariate contingent claims with regime-switching volatilities |
scientific article |
Statements
An analytic valuation method for multivariate contingent claims with regime-switching volatilities (English)
0 references
19 August 2011
0 references
multivariate contingent claim
0 references
derivative pricing
0 references
regime switch
0 references
business cycle
0 references
stochastic volatility
0 references
