Option pricing in regime-switching frameworks with the extended Girsanov principle (Q2038228)
From MaRDI portal
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
