Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes (Q3176516)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes |
scientific article |
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Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes (English)
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20 July 2018
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option pricing
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hidden Markov-modulated pure-jump processes
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Esscher transform
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Laplace cumulant process
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robust filters
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integral representation
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