PRICING OF POWER OPTIONS UNDER THE REGIME-SWITCHING MODEL

DOI10.14317/JAMI.2014.665zbMath1300.91049OpenAlexW2004608045MaRDI QIDQ2927968

Jerim Kim

Publication date: 5 November 2014

Published in: Journal of applied mathematics & informatics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14317/jami.2014.665

zbMATH Keywords

Laplace transformoption pricingregime-switching modelpower option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Computation of powered option prices under a general model for underlying asset dynamics

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