Option pricing and Esscher transform under regime switching
| Year of publication: |
2005
|
|---|---|
| Authors: | Elliott, Robert J. ; Chan, Leunglung ; Siu, Tak Kuen |
| Published in: |
Annals of Finance. - Springer. - Vol. 1.2005, 4, p. 423-432
|
| Publisher: |
Springer |
| Subject: | Option pricing | Regime switching | Hidden Markov chain model | Esscher transform | MEMM |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005808845