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Polynomial approximation to option prices under regime switching

Yunfan Tang
Year of publication:
2013
Authors: Tang, Yunfan
Published in:
North American actuarial journal. - Philadelphia, Pa. : Taylor & Francis, ISSN 1092-0277, ZDB-ID 1380138-7. - Vol. 17.2013, 2, p. 168-179
Subject: Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Black-Scholes-Modell | Black-Scholes model
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