Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
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Publication:2244233
DOI10.3934/jimo.2019072zbMath1476.91194OpenAlexW2962912110MaRDI QIDQ2244233
Chao Xu, Yinghui Dong, Guo-jing Wang, Zhao Lu Tian
Publication date: 12 November 2021
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2019072
Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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