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Date: 2010
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/110253
Description: In this paper, we develop an option valuation model in the context of a discrete-time multivariate Markov chain model using the Esscher transform. The multivariate Markov chain provides a flexible way ... More
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Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/211195
Description: This paper develops a valuation model for a perpetual convertible bond when the price dynamics of the underlying share are governed by continuous-time Markovian regime-switching models. We suppose tha ... More
Reviewed: Reviewed
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