A new exact solution for pricing European options in a two-state regime-switching economy
From MaRDI portal
Publication:356242
DOI10.1016/j.camwa.2012.08.005zbMath1268.91170MaRDI QIDQ356242
Song-Ping Zhu, Xiaoping Lu, Alexander Badran
Publication date: 25 July 2013
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2012.08.005
91G20: Derivative securities (option pricing, hedging, etc.)
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
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Cites Work
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