American option pricing and filtering with a hidden regime-switching jump diffusion
Year of publication: |
2022
|
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Authors: | Siu, Tak Kuen ; Elliott, Robert J. |
Published in: |
The journal of derivatives : JOD. - London : IPR Journals, ISSN 2168-8524, ZDB-ID 2048690-X. - Vol. 29.2022, 3, p. 106-123
|
Subject: | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Markov-Kette | Markov chain | Derivat | Derivative | Optionsgeschäft | Option trading |
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