Pricing multi-asset American option under Heston-CIR diffusion model with jumps (Q5082773)
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scientific article; zbMATH DE number 7545717
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing multi-asset American option under Heston-CIR diffusion model with jumps |
scientific article; zbMATH DE number 7545717 |
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Pricing multi-asset American option under Heston-CIR diffusion model with jumps (English)
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21 June 2022
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Heston-CIR model
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jump-diffusion model
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American put option
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double exponential jumps
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0.9150727
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0.90464497
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0.90340245
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0.8998341
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0.8970848
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0.89666706
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0.8964814
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