New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models (Q1782903)
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scientific article; zbMATH DE number 6940039
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| English | New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models |
scientific article; zbMATH DE number 6940039 |
Statements
New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models (English)
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20 September 2018
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binomial option pricing
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semi-Markov process
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regime switching
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martingale measure
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Tsallis entropy
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Kaniadakis entropy
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0.8978132605552673
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0.8681244254112244
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0.7684618830680847
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0.7461183667182922
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