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partial information
Brownian motion
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European contingent claims
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random dividend rates
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conditional probability density
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filtering equation
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first passage time
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posterior probability
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GAPEEV, PAVEL V.
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JEANBLANC, MONIQUE
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International Journal of Theoretical and Applied Finance (IJTAF)
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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
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