Local risk minimizing option in a regime-switching double Heston model
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Publication:4609299
zbMATH Open1390.91295MaRDI QIDQ4609299FDOQ4609299
Authors: S. Namazi, E. Dastranj 
Publication date: 29 March 2018
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Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70)
Cited In (3)
- Local risk-minimization under Markov-modulated exponential Lévy model
- Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
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