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- W2093641567 abstract "In this study, we empirically investigate the properties of gold returns, and the European gold options are priced when the underlying gold price dynamics are driven by Markov-modulated jump-diffusion processes. Specifically, the jump events are captured by a compound Poisson process with a log-normal jump size, and the regime-switching intensity rate is governed by a continuous-time finite-state Markov chain. Under an incomplete market setting, we study the valuation of European gold options using the method of Esscher transform. The estimated results and numerical examples are provided." @default.
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- W2093641567 date "2014-04-29" @default.
- W2093641567 modified "2023-10-18" @default.
- W2093641567 title "Pricing gold options under Markov-modulated jump-diffusion processes" @default.
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- W2093641567 doi "https://doi.org/10.1080/09603107.2014.914142" @default.
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