The valuation of structured products using Markov chain models (Q5746747)
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scientific article; zbMATH DE number 6256464
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The valuation of structured products using Markov chain models |
scientific article; zbMATH DE number 6256464 |
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The valuation of structured products using Markov chain models (English)
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8 February 2014
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variance gamma
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local Lévy model
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barrier pricing
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Sato process
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