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On pricing options with stressed-beta in a reduced form model - MaRDI portal

On pricing options with stressed-beta in a reduced form model (Q2353840)

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On pricing options with stressed-beta in a reduced form model
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    Statements

    title
    On pricing options with stressed-beta in a reduced form model (English)
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    author
    Hyuncheul Lim
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    Sungchul Lee
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    Geonwoo Kim
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    publication date
    9 July 2015
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    zbMATH Keywords
    two-state beta
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    option pricing
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    European options
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    American options
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    quadratures
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    calibration
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G60
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    65D32
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    zbMATH DE Number
    6457010
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    OpenAlex ID
    W1971131731
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