A regime-switching model with the volatility smile for...

Automatica 2014 / 03 Vol. 50; Iss. 3

A regime-switching model with the volatility smile for two-asset European options

Kim, Junseok, Jeong, Darae, Shin, Dong-Hoon
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Volume:
50
Language:
english
Journal:
Automatica
DOI:
10.1016/j.automatica.2013.12.019
Date:
March, 2014
File:
PDF, 1.61 MB
english, 2014
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