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Analysis of Markov chain approximation for regime-switching jump-diffusions with nonsmooth coefficients: deformed contour integration approach

Sep 2026 · Finance and Stochastics · Vol 30, pp. 1081 - 1134 · 0 citations · 29 references
Stochastic processes and financial applications

TL;DR

The deformed contour integration approach is illustrated by analysing the convergence rate of CTMC approximation for double-barrier option pricing under general regime-switching jump-diffusion models with nonsmooth coefficients.

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