Option pricing in regime-switching frameworks with the Extended Girsanov Principle
Frédéric Godin, Denis-Alexandre Trottier
| Year of publication: |
2021
|
|---|---|
| Authors: | Godin, Frédéric ; Trottier, Denis-Alexandre |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 99.2021, p. 116-129
|
| Subject: | Extended Girsanov Principle | Hidden Markov Models | Implied volatility surfaces | Option pricing | Path-dependence | Regime-switching | Variable annuities | Markov-Kette | Markov chain | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2021.02.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012649213