Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model

✍ Scribed by Chen, Son-Nan; Chiang, Mi-Hsiu; Hsu, Pao-Peng; Li, Chang-Yi

• Book ID: 122302975
• Publisher: Elsevier Science
• Year: 2014
• Tongue: English
• Weight: 527 KB
• Volume: 11
• Category: Article
• ISSN: 1544-6123
• DOI: 10.1016/j.frl.2013.09.002