Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach (Q2015638): Difference between revisions

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Latest revision as of 15:38, 8 July 2024

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Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
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    Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach (English)
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    23 June 2014
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    participating products
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    generalized jump-diffusion model
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    Markov-switching compensator
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    Esscher transform
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    reduction of dimensionality
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    collocation method
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