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Jump-Diffusion Models: A Practitioners Guide (2009)

by P Tankov, E Voltchkova
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Numerical method for pricing American options under regime-

by Abdelmajid El Hajaji, Khalid Hilal
"... switching jump-diffusion models ..."
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switching jump-diffusion models
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...form ],[ maxmin zzsto arrive ats,)()()()()( 1= kk m ik p k im i max z min z iim i zfzxVwdzzfzxVdzzxV +»+»+ åòò llnRs(22)sfor Hi 1,..,=sin which the kw ’s are the Gaussian quadrature coefficients; cf. =-=[21, 6]-=- for details.sWe present two examples to better illustrate the use of the switching Lévy approach and the proposed pricingsmethodology in concrete situations. These examples are concerned with America...

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