A generalized Esscher transform for option valuation with regime switching risk
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Publication:5079361
DOI10.1080/14697688.2021.2005251zbMath1490.91212OpenAlexW4200283664MaRDI QIDQ5079361
Robert J. Elliott, Tak Kuen Siu
Publication date: 27 May 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2021.2005251
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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