Option valuation by a self-exciting threshold binomial model (Q462735): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / zbMATH DE Number: 6359523 / rank | |||
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option valuation | |||
| Property / zbMATH Keywords: option valuation / rank | |||
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threshold principle | |||
| Property / zbMATH Keywords: threshold principle / rank | |||
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self-exciting | |||
| Property / zbMATH Keywords: self-exciting / rank | |||
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binomial models | |||
| Property / zbMATH Keywords: binomial models / rank | |||
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trinomial extensions | |||
| Property / zbMATH Keywords: trinomial extensions / rank | |||
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regime switching | |||
| Property / zbMATH Keywords: regime switching / rank | |||
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Revision as of 13:12, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option valuation by a self-exciting threshold binomial model |
scientific article |
Statements
Option valuation by a self-exciting threshold binomial model (English)
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21 October 2014
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option valuation
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threshold principle
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self-exciting
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binomial models
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trinomial extensions
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regime switching
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