A game theoretic approach to option valuation under Markovian regime-switching models (Q931215)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5292554
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A game theoretic approach to option valuation under Markovian regime-switching models |
scientific article; zbMATH DE number 5292554 |
Statements
A game theoretic approach to option valuation under Markovian regime-switching models (English)
0 references
25 June 2008
0 references
option valuation
0 references
regime switching
0 references
stochastic differential game
0 references
Esscher transform
0 references
jump-diffusion model
0 references
power utility
0 references
0 references
0 references
0 references
0.8230268359184265
0 references
0.8001486659049988
0 references
0.7867055535316467
0 references
0.785945475101471
0 references
0.7688938975334167
0 references
