The impact of volatility regime dynamics on option pricing
Shican Liu, Qing Li, Siqi Fan
| Year of publication: |
2025
|
|---|---|
| Authors: | Liu, Shican ; Li, Qing ; Fan, Siqi |
| Subject: | Markov regime switching | Option pricing | Regime interaction | Volatility risk | Volatilität | Volatility | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Schätzung | Estimation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2024.102352 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015372565