Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (Q3592749): Difference between revisions
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Revision as of 04:23, 5 February 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)
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21 September 2007
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American options
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completely random measures
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Esscher transform
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European options
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generalized gamma process
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jump-diffusion
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option pricing
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regime switching
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