Pricing currency options under two-factor Markov-modulated stochastic volatility models (Q2518532): Difference between revisions

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Revision as of 23:07, 28 June 2024

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Pricing currency options under two-factor Markov-modulated stochastic volatility models
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    Pricing currency options under two-factor Markov-modulated stochastic volatility models (English)
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    16 January 2009
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    currency options
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    two-factor stochastic volatility
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    regime switching
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    Esscher transform
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    decomposition
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