An exact and explicit formula for pricing lookback options with regime switching (Q2083405): Difference between revisions
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Revision as of 01:09, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An exact and explicit formula for pricing lookback options with regime switching |
scientific article |
Statements
An exact and explicit formula for pricing lookback options with regime switching (English)
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10 October 2022
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option pricing
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Markov-modulated geometric Brownian motion
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regime switching
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lookback options
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