Valuation of correlation options under a stochastic interest rate model with regime switching (Q1690474): Difference between revisions

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Latest revision as of 00:24, 15 July 2024

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Valuation of correlation options under a stochastic interest rate model with regime switching
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    Valuation of correlation options under a stochastic interest rate model with regime switching (English)
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    19 January 2018
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    correlation option
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    stochastic interest rate
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    regime-switching
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    forward measure
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    fast Fourier transform
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