A general framework for time-changed Markov processes and applications
Year of publication: |
2019
|
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Authors: | Cui, Zhenyu ; Kirkby, J. Lars ; Nguyen, Duy |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 273.2019, 2 (1.3.), p. 785-800
|
Subject: | Finance | Time change | Markov process | Option pricing | Continuous-time Markov chain | Subordination | Variance swaps | Bermudan options | Laplace Transform | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process |
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