A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing
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Publication:4562481
DOI10.1007/978-1-4899-7442-6_8zbMath1418.91539OpenAlexW1928347920MaRDI QIDQ4562481
Publication date: 21 December 2018
Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4899-7442-6_8
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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