A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models
Duy Nguyen
| Year of publication: |
2018
|
|---|---|
| Authors: | Nguyen, Duy |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 4, p. 1-30
|
| Subject: | Regime-switching model | recombining tree | options pricing | jump diffusion | Markov chain approximation | stochastic volatility model | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786318500391 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012028829