OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR
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Publication:5420701
DOI10.1142/S0219024914500204zbMath1410.91445MaRDI QIDQ5420701
Ahmed S. Hamada, Robert J. Elliott
Publication date: 13 June 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27)
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Cites Work
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