Option valuation under a regime-switching constant elasticity of variance process (Q2350148): Difference between revisions
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Revision as of 06:48, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option valuation under a regime-switching constant elasticity of variance process |
scientific article |
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Option valuation under a regime-switching constant elasticity of variance process (English)
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18 June 2015
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option pricing
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CEV models
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regime switching
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time-changed Bessel processes
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early exercise premiums
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