Pricing and hedging for correlation options with regime switching and common jump risk

DOI10.1080/03610926.2022.2031219OpenAlexW4210317122MaRDI QIDQ6164724

Xiaonan Su, Yu Xing, Wei Wang, Miao Han

Publication date: 28 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2022.2031219

zbMATH Keywords

regime switchingfast Fourier transform (FFT)correlation optioncommon jump risk

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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