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Bivariate option pricing under regime-switching dependence
Bivariate option pricing under regime-switching dependence
2012
Henry Hongren Huang
Wei Huang Jr.
Howard Qi
Puman Ouyang
Keywords:
Finite difference methods for option pricing
Financial economics
Valuation of options
Finance
Rational pricing
Bivariate analysis
Economics
regime switching
Copula (linguistics)
Correction
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