Optimal stopping and sensitivity analysis in regime switching models
This thesis focuses on topics related to regime-switching models. Two main problems are concerned, one is optimal stopping in regime-switching models, and the other is sensitivity analysis with its application to calculate Greeks based on regime-switching models. In particular, the regime switching...
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| Format: | Theses and Dissertations |
| Language: | English |
| Published: |
2015
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| Online Access: | https://hdl.handle.net/10356/65834 |
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| Institution: | Nanyang Technological University |
| Language: | English |