Pricing vulnerable options under a Markov-modulated regime switching model (Q3064081)
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scientific article; zbMATH DE number 5827925
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| English | Pricing vulnerable options under a Markov-modulated regime switching model |
scientific article; zbMATH DE number 5827925 |
Statements
Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model (English)
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20 December 2010
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Esscher transform
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option pricing
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regime switching
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vulnerable option
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0.8809049129486084
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0.8804164528846741
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0.8694787621498108
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0.850466787815094
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0.8458612561225891
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