Option pricing under regime switching (Q4646774)

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scientific article; zbMATH DE number 7001510
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English
Option pricing under regime switching
scientific article; zbMATH DE number 7001510

    Statements

    title
    Option pricing under regime switching (English)
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    author
    Ivilina Popova
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    Jin-Chuan Duan
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    Peter H. Ritchken
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    publication date
    14 January 2019
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    zbMATH Keywords
    option pricing
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    stock price dynamics
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    regime switching
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    GARCH option models
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    American option prices
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G40
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    91G60
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    62M10
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    zbMATH DE Number
    7001510
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    OpenAlex ID
    W2113398415
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