Option pricing with Markov switching stochastic volatility models
Yiying Cheng
| Year of publication: |
2020
|
|---|---|
| Authors: | Cheng, Yiying |
| Published in: |
Advances in Pacific Basin business, economics, and finance. - Bingley, UK : Emerald Publishing, ISSN 2514-4650, ZDB-ID 1293820-8. - Vol. 8.2020, p. 53-63
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| Subject: | Option pricing | stochastic volatility | GARCH | Markov switching multifractal | forecasting power | component driven regime switching | Markov-Kette | Markov chain | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/S2514-465020200000008003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012601380