Option valuation under a regime-switching constant elasticity of variance process (Q2350148)
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scientific article; zbMATH DE number 6447253
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Option valuation under a regime-switching constant elasticity of variance process |
scientific article; zbMATH DE number 6447253 |
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Option valuation under a regime-switching constant elasticity of variance process (English)
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18 June 2015
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option pricing
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CEV models
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regime switching
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time-changed Bessel processes
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early exercise premiums
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0.8282806873321533
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0.8140513896942139
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0.8117213845252991
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0.8099808692932129
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