A generalized Esscher transform for option valuation with regime switching risk (Q5079361)
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scientific article; zbMATH DE number 7532607
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A generalized Esscher transform for option valuation with regime switching risk |
scientific article; zbMATH DE number 7532607 |
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A generalized Esscher transform for option valuation with regime switching risk (English)
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27 May 2022
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option pricing
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generalized Esscher transform
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regime switching risk
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martingale condition
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