A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL (Q5265237)
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scientific article; zbMATH DE number 6463511
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL |
scientific article; zbMATH DE number 6463511 |
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A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL (English)
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23 July 2015
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regime-switching local volatility model
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Esscher transform
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forward equations
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regime-switching adjoint formula
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