Pricing vulnerable options under cross-asset markov-modulated jump-diffusion dynamics
Year of publication: |
2024
|
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Authors: | Lian, Yu-Min ; Chen, Jun-Home |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 94.2024, Art.-No. 103392, p. 1-14
|
Subject: | Cross-asset markov-modulated jump-diffusion model | Heath–jarrow–morton model | Markov-modulated | Markov-modulated esscher transform | Systematic cojump | Time-inhomogeneity |
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