A Dupire equation for a regime-switching model
Robert J. Elliott; Leunglung Chan; Tak Kuen Siu
| Year of publication: |
2015
|
|---|---|
| Authors: | Elliott, Robert J. ; Chan, Leunglung ; Siu, Tak Kuen |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 4, p. 1-13
|
| Subject: | Regime-switching local volatility model | Esscher transform | forward equations | regime-switching adjoint formula | Volatilität | Volatility | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011403770