"An analytic valuation method for multivariate contingent claims with ..."

Ji Hee Yoon, Bong-Gyu Jang, Kum-Hwan Roh (2011)

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DOI: 10.1016/J.ORL.2011.02.010

access: closed

type: Journal Article

metadata version: 2017-05-27

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Ji Hee Yoon, Bong-Gyu Jang, Kum-Hwan Roh:
An analytic valuation method for multivariate contingent claims with regime-switching volatilities. Oper. Res. Lett. 39(3): 180-187 (2011)

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