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Option pricing model based on a Markov-modulated diffusion with jumps
Nikita Ratanov
urosario
Research output
:
Contribution to journal
›
Research Article
›
peer-review
27
Scopus citations
Overview
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Dive into the research topics of 'Option pricing model based on a Markov-modulated diffusion with jumps'. Together they form a unique fingerprint.
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Mathematics
Market Model
100%
Option Pricing
87%
Volatility
84%
Model-based
67%
Jump
61%
Stock Prices
49%
Jump Diffusion
48%
Financial Markets
46%
Randomness
38%
Closed-form
31%
Explicit Formula
29%
Cycle
26%
Model
24%
Class
11%