Saddlepoint approximations to option price in a regime-switching model (Q300691)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Saddlepoint approximations to option price in a regime-switching model |
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Saddlepoint approximations to option price in a regime-switching model (English)
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28 June 2016
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call option
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Markov-modulated geometric Brownian motion
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regime switching model
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saddlepoint method
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