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An Exact Formula for Pricing American Exchange Options with Regime Switching - MaRDI portal

An Exact Formula for Pricing American Exchange Options with Regime Switching (Q4562482)

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scientific article; zbMATH DE number 6996409
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An Exact Formula for Pricing American Exchange Options with Regime Switching
scientific article; zbMATH DE number 6996409

    Statements

    title
    An Exact Formula for Pricing American Exchange Options with Regime Switching (English)
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    author
    Leunglung Chan
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    publication date
    21 December 2018
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    zbMATH Keywords
    pricing of American exchange options
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    continuous-time hidden Markov process
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    cites work
    Q4438197
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    Q2782371
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    Q4323296
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    Q4099998
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    Q4905685
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    Q5652137
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G40
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    60J28
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    zbMATH DE Number
    6996409
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    OpenAlex ID
    W188582737
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