Lookback option pricing for regime-switching jump diffusion models (Q888789)
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scientific article; zbMATH DE number 6503060
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Lookback option pricing for regime-switching jump diffusion models |
scientific article; zbMATH DE number 6503060 |
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Lookback option pricing for regime-switching jump diffusion models (English)
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2 November 2015
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lookback options
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jump-diffusion models
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floating strike
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Markov chain approximation
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integro-differential partial differential equations
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