Option Pricing With Markov-Modulated Dynamics (Q3427488)
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scientific article; zbMATH DE number 5134921
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Option Pricing With Markov-Modulated Dynamics |
scientific article; zbMATH DE number 5134921 |
Statements
Option Pricing With Markov-Modulated Dynamics (English)
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20 March 2007
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Markov-modulated
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Markov-chain
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option
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Black-Scholes model
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Wiener-Hopf factorization
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risk-sensitive control
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regime switching
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0.8544129133224487
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0.8465966582298279
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0.8183389902114868
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0.8128612637519836
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0.8121827244758606
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