Pricing European options under a double exponential jump-diffusion model with multi-factor CIR market structure risks (Q3404965)
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scientific article; zbMATH DE number 5671019
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| English | Pricing European options under a double exponential jump-diffusion model with multi-factor CIR market structure risks |
scientific article; zbMATH DE number 5671019 |
Statements
12 February 2010
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double exponential jump-diffusion process
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European option
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multi-factor CIR model
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market structure risks
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0.904774248600006
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0.7869913578033447
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0.7859972715377808
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0.7852003574371338
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