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On the price of risk under a regime switching CGMY process

Pious Asiimwe, Charles Wilson Mahera, Oliver Menoukeu-Pamen
Year of publication:
December 2016
Authors: Asiimwe, Pious ; Mahera, Charles Wilson ; Menoukeu-Pamen, Oliver
Published in:
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 23.2016, 4, p. 305-335
Subject: Option pricing | Regime switching risk | Exponential Lévy model | Regime switching Esscher transform | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | CAPM
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