## Abstract This study proposes an __N__ βstate Markovβswitching general autoregressive conditionally heteroskedastic (MSβGARCH) option model and develops a new lattice algorithm to price derivatives under this framework. The MSβGARCH option model allows volatility dynamics switching between differ
β¦ LIBER β¦
Skew-Normal Mixture and Markov-Switching GARCH Processes
β Scribed by Haas, Markus
- Book ID
- 121715385
- Publisher
- The Berkeley Electronic Press,Walter de Gruyter GmbH & Co. KG
- Year
- 2010
- Tongue
- English
- Weight
- 856 KB
- Volume
- 14
- Category
- Article
- ISSN
- 1081-1826
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