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- W2002383375 abstract "In this article, we consider the pricing of vulnerable European options when the dynamic of the risky assets are governed by Markov-modulated Geometric Brownian Motions. The regime switching Esscher transform is employed to determine an equivalent martingale measure. In particular, we also provide analytical pricing formulas of vulnerable European options under a Markov-modulated jump-diffusion model." @default.
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- W2002383375 date "2010-09-24" @default.
- W2002383375 modified "2023-10-17" @default.
- W2002383375 title "Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model" @default.
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- W2002383375 doi "https://doi.org/10.1080/03610920903268873" @default.
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