Saddlepoint approximations to option price in a regime-switching model (Q300691)
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scientific article; zbMATH DE number 6599188
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Saddlepoint approximations to option price in a regime-switching model |
scientific article; zbMATH DE number 6599188 |
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Saddlepoint approximations to option price in a regime-switching model (English)
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28 June 2016
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call option
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Markov-modulated geometric Brownian motion
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regime switching model
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saddlepoint method
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0.9487399
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0.9451581
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0.91893923
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0.91842586
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0.9133394
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0.9110402
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0.90259415
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0.9024458
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