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- W2149289963 abstract "In this paper we present a class of regime switching diffusion models described by a pair $(X(t), Y(t)) in mathbb{R}^n times {cal S}$ , ${cal S} = {1,2,ldots, N }$ , Y(t) being a Markov chain, for which the marginal probability of the diffusive component X(t) is a given mixture. Our main motivation is to extend to a multivariate setting the class of mixture models proposed by Brigo and Mercurio in a series of papers. Furthermore, a simple algorithm is available for simulating paths through a thinning mechanism. The application to option pricing is considered by proposing a mixture version for the Margrabe Option formula and the Heston stochastic volatility formula for a plain vanilla." @default.
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- W2149289963 date "2009-08-25" @default.
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- W2149289963 title "Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing" @default.
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- W2149289963 doi "https://doi.org/10.1007/s11009-009-9155-1" @default.
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