Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility (Q451153)
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scientific article; zbMATH DE number 6085252
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| English | Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility |
scientific article; zbMATH DE number 6085252 |
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Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility (English)
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21 September 2012
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regime switching
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jump-diffusion processes
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stochastic volatility
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local risk minimization
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option pricing
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0.8574836850166321
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0.8482986092567444
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0.8448798060417175
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0.8294618129730225
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