American options in regime-switching Lévy models with non-semibounded stochastic interest rates.

Svetlana Boyarchenko Sergei Levendorskii

Published in: ACC (2008)

Keyphrases

stochastic models
real time
statistical models
parameter estimation
stochastic process
accurate models
information retrieval
case study
probabilistic model
monte carlo
united states
historical data
stochastic model