Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach (Q2015638): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 05:33, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach |
scientific article |
Statements
Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach (English)
0 references
23 June 2014
0 references
participating products
0 references
generalized jump-diffusion model
0 references
Markov-switching compensator
0 references
Esscher transform
0 references
reduction of dimensionality
0 references
collocation method
0 references
