Russian and American put options under exponential phase-type Lévy models. (Q2574619): Difference between revisions
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English | Russian and American put options under exponential phase-type Lévy models. |
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Russian and American put options under exponential phase-type Lévy models. (English)
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29 November 2005
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Lévy process
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Markov additive process
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first passage time
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Wiener-Hopf factorization
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Russian option
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optimal stopping
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