Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (Q3592749)
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scientific article; zbMATH DE number 5194569
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model |
scientific article; zbMATH DE number 5194569 |
Statements
Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (English)
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21 September 2007
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American options
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completely random measures
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Esscher transform
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European options
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generalized gamma process
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jump-diffusion
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option pricing
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regime switching
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0.8436949253082275
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0.8428962826728821
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0.8369647264480591
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0.8265177607536316
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0.8206050992012024
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