Two-state volatility transition pricing and hedging of TXO options

DOI10.1007/S10614-010-9247-6zbMath1242.91220OpenAlexW2024195249MaRDI QIDQ429529

En-Der Su, Feng-Jeng Lin

Publication date: 19 June 2012

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-010-9247-6

zbMATH Keywords

Markov switchoptions pricing and hedgingTaiwan stock index optionstwo-state volatility model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Finite mixture models
• The Distribution of Realized Exchange Rate Volatility
• Option pricing: A simplified approach

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