Open AccessA lattice method for option evaluation with regime-switching asset correlation structure
Author(s) -
Amalia Christoforidou,
ChristianOliver Ewald
Publication year - 2021
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2020042
Subject(s) - econometrics , asset (computer security) , asymmetry , correlation , economics , lattice (music) , computer science , mathematics , physics , geometry , computer security , quantum mechanics , acoustics