Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (Q3592749): Difference between revisions

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Latest revision as of 10:09, 27 June 2024

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Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
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    Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (English)
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    21 September 2007
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    American options
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    completely random measures
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    Esscher transform
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    European options
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    generalized gamma process
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    jump-diffusion
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    option pricing
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    regime switching
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