In this work I extend the mixture model proposed by Brigo and Mercurio (2000, 2001) as an alternative of the well-known Black-Scholes asset price model, by using a regime-switching diffusion framework.
Ramponi, A. (2008). Mixture dynamics and option pricing: a regime switching model. In Atti del Convegno.
Mixture dynamics and option pricing: a regime switching model
RAMPONI, ALESSANDRO
2008-09-01
Abstract
In this work I extend the mixture model proposed by Brigo and Mercurio (2000, 2001) as an alternative of the well-known Black-Scholes asset price model, by using a regime-switching diffusion framework.File in questo prodotto:
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