REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
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Publication:3580220
DOI10.1142/S0219024910005863zbMath1233.91284MaRDI QIDQ3580220
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Publication date: 11 August 2010
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
91G60: Numerical methods (including Monte Carlo methods)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
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