A simple approach for pricing equity options with ...

Quantitative finance, vol. 6, no. 2, april 2006, 95-105 a simple approach for pricing equity options with markov switching state variables donald d. aingworthy...

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148 j.c. cox und s.a. ross, valuation of options for stochastic processes payouts. section 2 introduces the new stochastic processes studied in this...

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Modeling of variance and volatility swaps for financial ...

Modeling of variance and volatility swaps for financial markets with stochastic volatilities anatoliy swishchuk department of mathematics & statistics

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P carr and d madan quantitative finance the attractiveness of a state is measured by multiplying his expected return for that state by his marginal utility.

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the model is structural, in that it assumes that credits are driven by a hidden process that is a proxy for the value of the firm. this process is modelled by a...


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