On regime-switching European option pricing
Author:
Affiliation:
1. School of Mathematics, University of Nairobi, Nairobi, Kenya
2. School of Business,Department of Accounting,Finance & Economics, KCA University-Kenya, Nairobi, Kenya
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/23322039.2023.2203439
Reference30 articles.
1. A GARCH Option Pricing Model with Filtered Historical Simulation
2. Bayesian inference on GARCH models using the Gibbs sampler
3. Option pricing in a regime switching stochastic volatility model
4. Valuing Options in Regime-Switching Models
5. Regime switching in foreign exchange rates:
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