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Rainbow options with MS-VAR process - MaRDI portal

Rainbow options with MS-VAR process

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Publication:6541616

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DOI10.5564/mmj.v26i24.3000zbMath1539.9113MaRDI QIDQ6541616

Battulga Gankhuu

Publication date: 21 May 2024

Published in: Mongolian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

locally risk-minimizing strategy Bayesian MS-VAR process rainbow and lookback options

Mathematics Subject Classification ID

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

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