Pricing currency options under two-factor Markov-modulated stochastic volatility models (Q2518532)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing currency options under two-factor Markov-modulated stochastic volatility models |
scientific article |
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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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