Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate

DOI10.1080/00207160.2024.2327612MaRDI QIDQ6550279

Publication date: 5 June 2024

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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