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Closed-form approximated pricing of multivariate derivatives under switching regime models - MaRDI portal

Closed-form approximated pricing of multivariate derivatives under switching regime models

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Publication:6579701

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DOI10.1002/asmb.2635MaRDI QIDQ6579701

Kai Liu, Alexander Alvarez, Atousa Assadi

Publication date: 25 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

Markov switching derivatives pricing stochastic covariance

Mathematics Subject Classification ID

Statistics (62-XX)

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