Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
Michael C. Fu, Bingqing Li, Rongwen Wu, Tianqi Zhang
| Year of publication: |
2022
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|---|---|
| Authors: | Fu, Michael ; Li, Bingqing ; Wu, Rongwen ; Zhang, Tianqi |
| Published in: |
Frontiers of mathematical finance : FMF. - Springfield, MO : AIMS, LLC, ISSN 2769-6715, ZDB-ID 3180026-9. - Vol. 1.2022, 1, p. 137-160
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| Subject: | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/fmf.2021005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015373429