Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility
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- repec:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500244 is not listed on IDEAS
- Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015. "Pricing annuity guarantees under a double regime-switching model," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 62-78.
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KeywordsRegime switching; Jump-diffusion processes; Stochastic volatility; Local risk minimization; Option pricing;
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