Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model
Year of publication: |
2018
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Authors: | Chen, Son-nan ; Hsu, Pao-Peng |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 56.2018, p. 330-346
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Subject: | Barrier options | Double exponential jump diffusion process | Hidden Markov chain | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Markov-Kette | Markov chain | Hedging | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution |
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