What is beneath the surface? Option pricing with multifrequency latent states (Q2347726)
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scientific article; zbMATH DE number 6443577
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | What is beneath the surface? Option pricing with multifrequency latent states |
scientific article; zbMATH DE number 6443577 |
Statements
What is beneath the surface? Option pricing with multifrequency latent states (English)
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8 June 2015
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Markov-switching multifractal
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particle filter
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regime-switching
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stochastic volatility
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jump-risk premium
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option pricing
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0.7433348894119263
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0.7413859367370605
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0.7413186430931091
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0.7393681406974792
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0.7377583980560303
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