Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales (Q2423287): 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/10.3934/jimo.2018044 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2800252081 / rank | |||
Normal rank | |||
Revision as of 21:24, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales |
scientific article |
Statements
Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales (English)
0 references
21 June 2019
0 references
vulnerable option
0 references
regime-switching
0 references
change of numéraire
0 references
distressed selling
0 references
multinomial approach
0 references
