Pricing and hedging for correlation options with regime switching and common jump risk (Q6164724)
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scientific article; zbMATH DE number 7720169
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| English | Pricing and hedging for correlation options with regime switching and common jump risk |
scientific article; zbMATH DE number 7720169 |
Statements
Pricing and hedging for correlation options with regime switching and common jump risk (English)
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28 July 2023
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correlation option
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regime switching
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common jump risk
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fast Fourier transform (FFT)
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