Markov modulated jump-diffusions for currency options when regime switching risk is priced
David Liu
| Year of publication: |
2019
|
|---|---|
| Authors: | Liu, David |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 6.2019, 4, p. 1-26
|
| Subject: | Spot foreign exchange rate | rare event | Markov regime-switching | Esscher transform | currency option | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Währungsderivat | Currency derivative | Devisenoption | Currency option | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786319500385 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012314539