A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks : evidence from stock indices
Shih-Kuei Lin; Chien-Hsiu Lin; Ming-Che Chuang; Chia-Yu Chou
| Year of publication: |
2014
|
|---|---|
| Authors: | Lin, Shih-kuei ; Lin, Chien-hsiu ; Chuang, Ming-che ; Chou, Chia-yu |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 38.2014, p. 341-350
|
| Subject: | Participating contract | Recursive formula | Regime-switching model | Regime-switching model with jump risks | Volatility clustering | Volatilität | Volatility | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory |
| 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/10010419066