OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING (Q5487827)
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scientific article; zbMATH DE number 5052906
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING |
scientific article; zbMATH DE number 5052906 |
Statements
OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING (English)
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12 September 2006
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Markov switching conditional Esscher transform
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Markov switching Heston-Nandi's GARCH model
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recursive formula
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analytical option valuation
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