학술저널
PRICING MULTI-ASSET DERIVATIVES WITH REGIME-SWITCHING VOLATILITIES
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 27, No. 2
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2014.05237 - 242 (6 pages)
- 2
In this paper we provide a valuation method for multi- asset derivatives with single jump regime-switching volatilities. We suppse that volatilities of assets are a？？ected by an n-dimensional independent Markov regime-switching process.
1. Introduction
2. The model
3. Conclusion
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