Markov-modulated jump-diffusions for currency option pricing (Q659253)
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scientific article; zbMATH DE number 6004712
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Markov-modulated jump-diffusions for currency option pricing |
scientific article; zbMATH DE number 6004712 |
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Markov-modulated jump-diffusions for currency option pricing (English)
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10 February 2012
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spot foreign exchange rate
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rare event
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time-inhomogeneity
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Esscher transform
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currency option
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