An analytic valuation method for multivariate contingent claims with regime-switching volatilities (Q635506): Difference between revisions

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Revision as of 23:57, 19 March 2024

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An analytic valuation method for multivariate contingent claims with regime-switching volatilities
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    An analytic valuation method for multivariate contingent claims with regime-switching volatilities (English)
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    19 August 2011
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    multivariate contingent claim
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    derivative pricing
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    regime switch
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    business cycle
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    stochastic volatility
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