Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model (Q3064081)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model |
scientific article |
Statements
Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model (English)
0 references
20 December 2010
0 references
Esscher transform
0 references
option pricing
0 references
regime switching
0 references
vulnerable option
0 references
