scientific article

DOI10.3969/J.ISSN.1001-4268.2014.05.004zbMath1363.91114MaRDI QIDQ2992251

Wangbo Li, Rui Song

Publication date: 10 August 2016

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

integro-differential equationsoption pricingLévy processhidden Markov chain model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Integro-partial differential equations (45K05) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27)

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