Closed-form approximated pricing of multivariate derivatives under switching regime models (Q6579701)
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scientific article; zbMATH DE number 7887753
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| English | Closed-form approximated pricing of multivariate derivatives under switching regime models |
scientific article; zbMATH DE number 7887753 |
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Closed-form approximated pricing of multivariate derivatives under switching regime models (English)
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25 July 2024
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derivatives pricing
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Markov switching
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stochastic covariance
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