OPTION PRICING WITH A LEVY-TYPE STOCHASTIC DYNAMIC MODEL FOR STOCK PRICE PROCESS UNDER SEMI-MARKOVIAN STRUCTURAL PERTURBATIONS (Q3467597): Difference between revisions
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Revision as of 18:30, 22 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTION PRICING WITH A LEVY-TYPE STOCHASTIC DYNAMIC MODEL FOR STOCK PRICE PROCESS UNDER SEMI-MARKOVIAN STRUCTURAL PERTURBATIONS |
scientific article |
Statements
OPTION PRICING WITH A LEVY-TYPE STOCHASTIC DYNAMIC MODEL FOR STOCK PRICE PROCESS UNDER SEMI-MARKOVIAN STRUCTURAL PERTURBATIONS (English)
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3 February 2016
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semi-Markov process
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regime switching models
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characteristic function
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calibration and simulation option prices
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minimum entropy
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