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Found 33 Documents (Results 1–33)

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Hedging costs for variable annuities under regime-switching. (English) Zbl 1418.91228

Mamon, Rogemar S. (ed.) et al., Hidden Markov models in finance. Further developments and applications. Volume II. New York, NY: Springer. Int. Ser. Oper. Res. Manag. Sci. 209, 133-166 (2014).
MSC:  91B30 35Q91
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The price of a lookback option as the solution of a boundary-value problem for the heat equation. (English. Russian original) Zbl 1180.91292

Comput. Math. Model. 20, No. 1, 65-70 (2009); translation from Prikl. Mat. Inf. 28, 66-72 (2008).
MSC:  91G20 35K05 35K20
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