Option Pricing for Pure Jump Processes with Markov Switching Compensators
| Year of publication: |
2006
|
|---|---|
| Authors: | Elliott, Robert ; Osakwe, Carlton-James |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 10.2006, 2, p. 250-275
|
| Publisher: |
Springer |
| Subject: | Jump process | Markov switching | Compensator | Characteristic function | European options | Hedging |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005759633