Option pricing and hedging for discrete time regime-switching models

Bruno Rémillard, Alexandre Hocquard, Hugo Lamarre, Nicolas Papageorgiou

Year of publication:	August 2017
Authors:	Rémillard, Bruno ; Hocquard, Alexandre ; Lamarre, Hugo ; Papageorgiou, Nicolas A.
Published in:	Modern economy. - Irvine, Calif. : Scientific Research Publishing, ISSN 2152-7245, ZDB-ID 2598760-4. - Vol. 8.2017, 8, p. 1005-1032
Subject:	Option Pricing \| Dynamic Hedging \| Regime-Switching \| Goodness-of-Fit \| Hidden Markov Models \| Hedging \| Markov-Kette \| Markov chain \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Derivat \| Derivative

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