Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach (Q2015638)
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scientific article; zbMATH DE number 6306916
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| English | Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach |
scientific article; zbMATH DE number 6306916 |
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Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach (English)
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23 June 2014
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participating products
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generalized jump-diffusion model
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Markov-switching compensator
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Esscher transform
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reduction of dimensionality
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collocation method
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0.9218083620071412
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0.8074939846992493
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0.7874962091445923
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0.7871782779693604
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0.7818998098373413
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