Multivariate European option pricing in a Markov-modulated Lévy framework (Q507979)
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scientific article; zbMATH DE number 6682799
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate European option pricing in a Markov-modulated Lévy framework |
scientific article; zbMATH DE number 6682799 |
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Multivariate European option pricing in a Markov-modulated Lévy framework (English)
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9 February 2017
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regime-switching
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Esscher transform
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exchange options
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0.9281312
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0.9231912
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0.91699475
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0.9155617
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0.9055134
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0.90310067
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0.9023711
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0.90235156
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