What is beneath the surface? Option pricing with multifrequency latent states (Q2347726)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | What is beneath the surface? Option pricing with multifrequency latent states |
scientific article |
Statements
What is beneath the surface? Option pricing with multifrequency latent states (English)
0 references
8 June 2015
0 references
Markov-switching multifractal
0 references
particle filter
0 references
regime-switching
0 references
stochastic volatility
0 references
jump-risk premium
0 references
option pricing
0 references
0 references
0 references
0 references
0 references
0 references
