Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates (Q2424929): Difference between revisions
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Revision as of 14:10, 22 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 |
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Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates (English)
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25 June 2019
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option pricing
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Markovian regime switching
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exponential Lévy model
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stochastic interest rate
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characteristic function
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FFT
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