Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales (Q2423287)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales |
scientific article |
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Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales (English)
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21 June 2019
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vulnerable option
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regime-switching
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change of numéraire
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distressed selling
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multinomial approach
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