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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| 格式: | Theses and Dissertations |
| 語言: | English |
| 出版: |
2015
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| 主題: | |
| 在線閱讀: | https://hdl.handle.net/10356/65834 |
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