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Search: subject:"European contingent claims"
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Brownian motion
2
European contingent claims
2
random dividend rates
2
Structural approach
1
conditional probability density
1
filtering equation
1
first passage time
1
full and partial information
1
partial information
1
posterior probability
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running minimum process
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strong Markov property
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switching times
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GAPEEV, PAVEL V.
2
JEANBLANC, MONIQUE
2
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International Journal of Theoretical and Applied Finance (IJTAF)
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1
PRICING AND FILTERING IN A TWO-DIMENSIONAL DIVIDEND SWITCHING MODEL
GAPEEV, PAVEL V.
;
JEANBLANC, MONIQUE
- In:
International Journal of Theoretical and Applied …
13
(
2010
)
07
,
pp. 1001-1017
European
contingent
claims
through the filtering estimates of occurrence of the switching times and their conditional …
Persistent link: https://www.econbiz.de/10008725901
Saved in:
2
PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS
GAPEEV, PAVEL V.
;
JEANBLANC, MONIQUE
- In:
International Journal of Theoretical and Applied …
12
(
2009
)
08
,
pp. 1091-1104
form expressions for rational values of
European
contingent
claims
, under full and partial information. …
Persistent link: https://www.econbiz.de/10008493063
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