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most citedComputing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach

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q-fin.CP2011

Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options

Alessandro Ramponi

In this paper we consider a jump-diffusion dynamic whose parameters are driven by a continuous time and stationary Markov Chain on a finite state space as a model for the underlyin…