Option pricing and hedging under a Markov switching Lévy process model

DOI10.13371/J.CNKI.CHIN.Q.J.M.2017.01.008MaRDI QIDQ4623784zbMATH OpenFDO

Authors Ruili Song, Bo Wang

Publication date 22 February 2019

zbMATH Keywords

option pricinghedgingMarkov chain modelLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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(17)

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