On perpetual American put valuation and first-passage in a regime-switching model with jumps
Year of publication: |
2008
|
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Authors: | Jiang, Zhengjun ; Pistorius, Martijn R. |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 12.2008, 3, p. 331-355
|
Subject: | Wiener-Hopf factorization | Lévy model | Optionspreistheorie | Option pricing theory |
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