On the price of risk under a regime switching CGMY process (Q1627726)
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scientific article; zbMATH DE number 6987676
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the price of risk under a regime switching CGMY process |
scientific article; zbMATH DE number 6987676 |
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On the price of risk under a regime switching CGMY process (English)
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3 December 2018
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option pricing
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regime switching risk
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exponential Lévy model
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regime switching Esscher transform
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