Option pricing and Esscher transform under regime switching (Q665552)
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scientific article; zbMATH DE number 6012194
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| default for all languages | No label defined |
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| English | Option pricing and Esscher transform under regime switching |
scientific article; zbMATH DE number 6012194 |
Statements
Option pricing and Esscher transform under regime switching (English)
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5 March 2012
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option pricing
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regime switching
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hidden Markov chain model
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Esscher transform
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MEMM
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0.9416239
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0.9244471
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0.9230591
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0.92260134
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0.92258924
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0.9225365
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0.92070603
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0.9203361
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