Regime classification and stock loan valuation
Ning Cai, Wei Zhang
| Year of publication: |
2020
|
|---|---|
| Authors: | Cai, Ning ; Zhang, Wei |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 68.2020, 4, p. 965-983
|
| Subject: | regime classification | stock loans | perpetual American options | optimal stopping times | regime-switching exponential Lévy models | regime-switching phase-type jump diffusion models | Suchtheorie | Search theory | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2019.1934 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012288340