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Lookback option pricing for regime-switching jump diffusion models
Zhuo Jin
*
, Linyi Qian
*
Corresponding author for this work
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Article
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peer-review
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Dive into the research topics of 'Lookback option pricing for regime-switching jump diffusion models'. Together they form a unique fingerprint.
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Mathematics
Lookback Options
100%
Regime-switching Model
91%
Jump-diffusion Model
86%
Option Pricing
73%
Markov Chain Approximation
31%
Numerical Methods
30%
Markov Switching
29%
Regime Switching
27%
Jump Process
25%
Markov Model
22%
Closed-form Solution
22%
Coupled System
20%
Approximation Algorithms
18%
Jump
17%
Markov chain
17%
Discrete-time
16%
Nonlinearity
15%
Partial
14%
Demonstrate
12%
Engineering & Materials Science
Markov chains
40%
Numerical methods
36%
Costs
23%
Approximation algorithms
22%