Pricing Derivatives Incorporating Structural Market Changes and in Time Correlation (Q3548737)
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scientific article; zbMATH DE number 5383030
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| English | Pricing Derivatives Incorporating Structural Market Changes and in Time Correlation |
scientific article; zbMATH DE number 5383030 |
Statements
Pricing Derivatives Incorporating Structural Market Changes and in Time Correlation (English)
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17 December 2008
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Black-Scholes
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Markov modulated model
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time correlation
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0.720028281211853
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0.715600311756134
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0.7070464491844177
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0.6905632019042969
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0.6904641389846802
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