American option pricing and filtering with a hidden regime-switching jump diffusion
Tak Kuen Siu and Robert J. Elliott
| Year of publication: |
2022
|
|---|---|
| Authors: | Siu, Tak Kuen ; Elliott, Robert J. |
| Subject: | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Optionsgeschäft | Option trading | Volatilität | Volatility | Derivat | Derivative |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3905/jod.2022.1.147 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013174827