Option valuation by a self-exciting threshold binomial model (Q462735)
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scientific article; zbMATH DE number 6359523
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| English | Option valuation by a self-exciting threshold binomial model |
scientific article; zbMATH DE number 6359523 |
Statements
Option valuation by a self-exciting threshold binomial model (English)
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21 October 2014
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option valuation
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threshold principle
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self-exciting
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binomial models
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trinomial extensions
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regime switching
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0.94691926
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0.8810038
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0.86801773
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0.8629076
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0.86261576
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0.86041486
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0.8594007
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