Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
Farzad Alavi Fard; Tak Kuen Siu
| 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 | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Entropie | Entropy | Martingal | Martingale | CAPM | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009776434