Option pricing with a Lévy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations (Q3467597)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Option pricing with a Lévy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations |
scientific article; zbMATH DE number 6538905
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Option pricing with a Lévy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations |
scientific article; zbMATH DE number 6538905 |
Statements
OPTION PRICING WITH A LEVY-TYPE STOCHASTIC DYNAMIC MODEL FOR STOCK PRICE PROCESS UNDER SEMI-MARKOVIAN STRUCTURAL PERTURBATIONS (English)
0 references
3 February 2016
0 references
semi-Markov process
0 references
regime switching models
0 references
characteristic function
0 references
calibration and simulation option prices
0 references
minimum entropy
0 references
0 references
0 references
0.7539190649986267
0 references
0.7512246370315552
0 references
0.7446428537368774
0 references
0.7437853217124939
0 references
