Double barrier options in regime-switching hyper-exponential jump-diffusion models (Q3107929)
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scientific article; zbMATH DE number 5991972
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| English | Double barrier options in regime-switching hyper-exponential jump-diffusion models |
scientific article; zbMATH DE number 5991972 |
Statements
DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS (English)
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28 December 2011
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option pricing
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double barrier options
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double-no-touch options
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foreign exchange
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double exponential jump-diffusion
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Kou's model
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hyper-exponential jump-diffusion
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Lévy process
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regime swtiching
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stochastic volatility
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stochastic volatility interest rate
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Carr's randomization
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Wiener-Hopf factorization
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0.8727596998214722
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0.8465783596038818
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0.8414315581321716
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0.8396276831626892
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0.8393417596817017
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