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  • GOSWAMI, ANINDYA; Mukherjee, Kedar Nath; Patalwala, Irvine Homi; NADAHALLI, SATISH SANJAY (Wiley, 2022-11)
    In the regime switching extension of Black–Scholes–Merton model of asset price dynamics, one assumes that the volatility coefficient evolves as a hidden pure jump process. Under the assumption of Markov regime switching, ...

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