Option pricing and hedging in different cyclical structures : a two-dimensional Markov-modulated model
Son-Nan Chen, Pao-Peng Hsu and Kuo-Yuan Liang
| Year of publication: |
2019
|
|---|---|
| Authors: | Chen, Son-nan ; Hsu, Pao-Peng ; Liang, Kuo-yuan |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 25.2019, 8, p. 762-779
|
| Subject: | covariates | duration dependence | Regime-switching | time-varying transition probability matrix | Hedging | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Korrelation | Correlation | Konjunktur | Business cycle | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2018.1538895 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012207028