An analytic valuation method for multivariate contingent claims with regime-switching volatilities (Q635506)
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scientific article; zbMATH DE number 5941230
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| English | An analytic valuation method for multivariate contingent claims with regime-switching volatilities |
scientific article; zbMATH DE number 5941230 |
Statements
An analytic valuation method for multivariate contingent claims with regime-switching volatilities (English)
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19 August 2011
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multivariate contingent claim
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derivative pricing
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regime switch
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business cycle
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stochastic volatility
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0.7861488461494446
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0.7846788167953491
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0.7712954878807068
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0.7701910138130188
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0.7574388980865479
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