论文
Study on the Binary Option Pricing Formula with Regime-Switching
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论文目录
- 1 Introduction
- 2 Hidden Markov Model
- 3 Basic Assumption
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4 The European Call Option Pricing When the Initial Market Situation is Smooth
- 4.1 The single-time European call option pricing
- 4.2 The European call option pricing of second-stage
- 4.3 The pricing formula of n-period European call option
- 5 Comparative Analysis with a Simple Binary Tree Option Pricing Formula
- 6 Conclusions
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