Option pricing in regime-switching frameworks with the extended Girsanov principle (Q2038228)
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scientific article; zbMATH DE number 7368185
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing in regime-switching frameworks with the extended Girsanov principle |
scientific article; zbMATH DE number 7368185 |
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Option pricing in regime-switching frameworks with the extended Girsanov principle (English)
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6 July 2021
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hidden Markov models
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regime-switching
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option pricing
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extended Girsanov principle
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path-dependence
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implied volatility surfaces
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variable annuities
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0.9364932
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0.9323189
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0.93165725
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0.93106186
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0.9309475
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0.9280202
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