Double Barrier Options In Regime-Switching Hyper-Exponential Jump-Diffusion Models
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- Albanese, Claudio & Vidler, Alicia, 2007. "A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs," MPRA Paper 5227, University Library of Munich, Germany, revised 09 Sep 2007.
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KeywordsOption pricing; double barrier options; double-no-touch options; foreign exchange; double-exponential jump-diffusion; Kou's model; hyper-exponential jump-diffusion; Lévy process; regime switching; stochastic volatility; stochastic interest rate; Carr's randomization; Canadization; analytic method of lines; Wiener-Hopf factorization;
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