Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates (Q2424929): 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/10.1016/j.cam.2019.01.044 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2915112278 / rank | |||
Normal rank | |||
Revision as of 21:46, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates |
scientific article |
Statements
Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates (English)
0 references
25 June 2019
0 references
option pricing
0 references
Markovian regime switching
0 references
exponential Lévy model
0 references
stochastic interest rate
0 references
characteristic function
0 references
FFT
0 references
