Saddlepoint approximations to option price in a regime-switching model
Year of publication: |
February 2016
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Authors: | Zhang, Mengzhe ; Chan, Leunglung |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 12.2016, 1, p. 55-69
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Subject: | Call option | Markov-modulated geometric Brownian motion | Regime switching model | Saddlepoint method | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Derivat | Derivative |
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