Browsing by Subject "Regime-switching, Option Pricing, Macroeconomic Indicators, Underlying Asset Return, Parameter Estimation, Out-of-sample Test"
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An Option Pricing Model with Regime-Switching Economic Indicators
(2013-08-26)Although the Black-Scholes (BS) model and its alternatives have been widely applied in finance, their flaws have drawn the attention of many investors and risk managers. The Black-Scholes (BS) model fails to explain the ...