A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
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Publication:5265237
DOI10.1142/S0219024915500235zbMath1337.91095MaRDI QIDQ5265237
Tak Kuen Siu, Robert J. Elliott, Leunglung Chan
Publication date: 23 July 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
forward equationsEsscher transformregime-switching adjoint formularegime-switching local volatility model
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
How should a local regime-switching model be calibrated? ⋮ VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING ⋮ Fitted finite volume method for indifference pricing in an exponential utility regime-switching model ⋮ Generalisation of Hajek's stochastic comparison results to stochastic sums ⋮ A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows
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- FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
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