A self-exciting threshold jump-diffusion model for option valuation (Q343990): Difference between revisions

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+6654908
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+option valuation
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@@ Property / zbMATH Keywords @@
+self-exciting threshold model
@@ Property / zbMATH Keywords: self-exciting threshold model / rank @@
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@@ Property / zbMATH Keywords @@
+generalized Esscher transform
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@@ Property / zbMATH Keywords @@
+piecewise linear partial differential equation
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@@ Property / zbMATH Keywords @@
+quadratic approximation
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+https://doi.org/10.1016/j.insmatheco.2016.05.008
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@@ Property / cites work @@
+Diffusions and Elliptic Operators
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+The Pricing of Options and Corporate Liabilities
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+AMERICAN OPTIONS WITH REGIME SWITCHING
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@@ links / mardi / name / links / mardi / name @@
+Publication:343990