An analytic valuation method for multivariate contingent claims with regime-switching volatilities
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Publication:635506
DOI10.1016/j.orl.2011.02.010zbMath1219.91144OpenAlexW3124489661MaRDI QIDQ635506
Bong-Gyu Jang, Ji Hee Yoon, Kum-Hwan Roh
Publication date: 19 August 2011
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2011.02.010
Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
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