Option pricing with a levy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations
Patrick Assonken and G.S. Ladde (Mathematics and Statistics, University of South Florida, Tampa, Florida, USA)
| Year of publication: |
December 2015
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| Authors: | Assonken, Patrick ; Ladde, Gangaram S. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 8, p. 1-72
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| Subject: | Semi-Markov process | regime switching models | characteristic function | calibration and simulation option prices | minimum entropy | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Entropie | Entropy | Simulation | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024915500521 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011419362