A reduced lattice model for option pricing under regime-switching
Massimo Costabile; Arturo Leccadito; Ivar Massabó; Emilio Russo
| Year of publication: |
2014
|
|---|---|
| Authors: | Costabile, Massimo ; Leccadito, Arturo ; Massabo, Ivar ; Russo, Emilio |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 42.2014, 4, p. 667-690
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| Subject: | Option pricing | Regime-switching | Binomial lattice | Discrete time models | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Markov-Kette | Markov chain | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| 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://ebvufind01.dmz1.zbw.eu/10010433525