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pro vyhledávání: '"Dennis Llemit"'
Autor:
Dennis Llemit, Jose Maria Escaner IV
Publikováno v:
AIMS Mathematics, Vol 6, Iss 10, Pp 11595-11609 (2021)
In this paper, we consider a market model where the risky asset is a jump diffusion whose drift, volatility and jump coefficients are influenced by market regimes and history of the asset itself. Since the trajectory of the risky asset is discontinuo
Externí odkaz:
https://doaj.org/article/b4eefd56ddf04811b45c06d9107b2e0f
Autor:
Jose Maria L. Escaner, Dennis Llemit
Publikováno v:
AIMS Mathematics, Vol 6, Iss 10, Pp 11595-11609 (2021)
In this paper, we consider a market model where the risky asset is a jump diffusion whose drift, volatility and jump coefficients are influenced by market regimes and history of the asset itself. Since the trajectory of the risky asset is discontinuo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a4bbe9a4e82f9e948afc955d6c98471b
https://www.aimspress.com/article/doi/10.3934/math.2021673?viewType=HTML
https://www.aimspress.com/article/doi/10.3934/math.2021673?viewType=HTML