Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
Year of publication: |
2013
|
---|---|
Authors: | Fard, Farzad Alavi ; Siu, Tak Kuen |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 9.2013, 3, p. 421-438
|
Subject: | Binomial tree | Regime switching | Minimum entropy martingale measure | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Entropie | Entropy | CAPM | Martingal | Martingale |
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