A regime-switching model with the volatility smile for two-asset European options (Q462338)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6358516
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A regime-switching model with the volatility smile for two-asset European options |
scientific article; zbMATH DE number 6358516 |
Statements
A regime-switching model with the volatility smile for two-asset European options (English)
0 references
20 October 2014
0 references
regime-switching model
0 references
finite difference method
0 references
operator splitting method
0 references
volatility smile
0 references
0 references
0 references
0.8178250789642334
0 references
0.8139595985412598
0 references
0.8135945796966553
0 references
