Option pricing in regime-switching frameworks with the extended Girsanov principle (Q2038228): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Created claim: Wikidata QID (P12): Q115162923, #quickstatements; #temporary_batch_1712111774907 |
||
Property / Wikidata QID | |||
Property / Wikidata QID: Q115162923 / rank | |||
Normal rank |
Revision as of 04:46, 3 April 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Option pricing in regime-switching frameworks with the extended Girsanov principle |
scientific article |
Statements
Option pricing in regime-switching frameworks with the extended Girsanov principle (English)
0 references
6 July 2021
0 references
hidden Markov models
0 references
regime-switching
0 references
option pricing
0 references
extended Girsanov principle
0 references
path-dependence
0 references
implied volatility surfaces
0 references
variable annuities
0 references