Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates (Q2424929)
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scientific article; zbMATH DE number 7073322
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| English | Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates |
scientific article; zbMATH DE number 7073322 |
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Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates (English)
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25 June 2019
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option pricing
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Markovian regime switching
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exponential Lévy model
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stochastic interest rate
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characteristic function
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FFT
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0.848194420337677
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0.846810519695282
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0.8380183577537537
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0.8326417803764343
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