Option valuation with a discrete-time double Markovian regime-switching model (Q2889601)
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scientific article; zbMATH DE number 6043669
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| English | Option valuation with a discrete-time double Markovian regime-switching model |
scientific article; zbMATH DE number 6043669 |
Statements
Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model (English)
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8 June 2012
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option valuation
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double Markovian regime-switching model
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non-normal innovations
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Esscher transform
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0.8478764295578003
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0.8019121289253235
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0.800316572189331
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0.7996648550033569
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0.7938603758811951
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