Integro-Differential Equations for Option Prices in Markov Switching Exponential Levy Models

Song Ruili, Wang Bo

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PDF(408 KB)
CHINESE JOURNAL OF APPLIED PROBABILITY AND STATISTICS ›› 2015, Vol. 31 ›› Issue (5) : 483-492.
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Integro-Differential Equations for Option Prices in Markov Switching Exponential Levy Models

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