Regime switching affine processes with applications to finance
Misha van Beek, Michel Mandjes, Peter Spreij, Erik Winands
| Year of publication: |
2020
|
|---|---|
| Authors: | Beek, Misha van ; Mandjes, Michel ; Spreij, Peter ; Winands, Erik |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 24.2020, 2, p. 309-333
|
| Subject: | Affine processes | Regime switching | Markov modulation | Markov chain | Derivatives pricing | Markov-Kette | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Derivat | Derivative | Volatilität | Volatility | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-020-00419-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012253354