A game theoretic approach to option valuation under Markovian regime-switching models (Q931215)
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scientific article; zbMATH DE number 5292554
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A game theoretic approach to option valuation under Markovian regime-switching models |
scientific article; zbMATH DE number 5292554 |
Statements
A game theoretic approach to option valuation under Markovian regime-switching models (English)
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25 June 2008
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option valuation
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regime switching
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stochastic differential game
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Esscher transform
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jump-diffusion model
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power utility
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