European option pricing with market frictions, regime switches and model uncertainty (Q6152695)
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scientific article; zbMATH DE number 7804010
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| English | European option pricing with market frictions, regime switches and model uncertainty |
scientific article; zbMATH DE number 7804010 |
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European option pricing with market frictions, regime switches and model uncertainty (English)
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13 February 2024
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option pricing
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transaction costs
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regime switching
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model uncertainty
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Esscher transform
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0.7144799828529358
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0.7063972353935242
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0.7012990117073059
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