A new tree method for pricing financial derivatives in a regime-switching mean-reverting model (Q1926230)
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scientific article; zbMATH DE number 6118803
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new tree method for pricing financial derivatives in a regime-switching mean-reverting model |
scientific article; zbMATH DE number 6118803 |
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A new tree method for pricing financial derivatives in a regime-switching mean-reverting model (English)
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28 December 2012
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numerical methods for stochastic nonlinear systems
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regime-switching mean-reverting model
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binomial tree
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financial derivative
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