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http://dx.doi.org/10.14403/jcms.2014.27.2.237

PRICING MULTI-ASSET DERIVATIVES WITH REGIME-SWITCHING VOLATILITIES  

Roh, Kum-Hwan (Department of Mathematics Hannam University)
Publication Information
Journal of the Chungcheong Mathematical Society / v.27, no.2, 2014 , pp. 237-242 More about this Journal
Abstract
In this paper we provide a valuation method for multi-asset derivatives with single jump regime-switching volatilities. We suppse that volatilities of assets are affected by an n-dimensional independent Markov regime-switching process.
Keywords
regime-switching; multivariate contingent claim; pricing derivatives;
Citations & Related Records
Times Cited By KSCI : 2  (Citation Analysis)
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