Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model (Q5086465)
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scientific article; zbMATH DE number 7553404
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| English | Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model |
scientific article; zbMATH DE number 7553404 |
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Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model (English)
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5 July 2022
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viscosity solutions
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Lévy process
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regime-switching model
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partial integro-differential equations
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finite differences method
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comparison principle
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0.91155374
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0.9072279
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0.9055134
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0.89801776
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0.8969649
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0.89005345
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0.8851271
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0.8808668
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0.8802994
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