An analytic valuation method for multivariate contingent claims with regime-switching volatilities
Ji Hee Yoon; Bong-gyu Jang; Kum-hwan Roh
| Year of publication: |
2011
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|---|---|
| Authors: | Yoon, Ji Hee ; Jang, Bong-gyu ; Roh, Kum-hwan |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 39.2011, 3, p. 180-187
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| Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Finanzanalyse | Financial analysis | CAPM |
| 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/10009160239