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    • Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods) 

      Akhavein Sohrabi, Mohammad Yousef (University of Waterloo, 2011-05-19)
      Although globally used in option pricing, the Black-Scholes model has not been able to reflect the evolution of stocks in the real world. A regime-switching model which allows jumps in the underlying asset prices and the ...


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