Option pricing using a regime switching stochastic discount factor (Q5420701)
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scientific article; zbMATH DE number 6304160
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Option pricing using a regime switching stochastic discount factor |
scientific article; zbMATH DE number 6304160 |
Statements
OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR (English)
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13 June 2014
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stochastic discount factor
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option pricing
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regime switching
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continuous time Markov chain
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0.8253705501556396
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0.8023454546928406
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0.8021947741508484
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0.7993419766426086
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