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A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes.
Z. Ahmadi
S. Mohammad Hosseini
Ali Foroush Bastani
Published in:
J. Comput. Appl. Math. (2020)
Keyphrases
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diffusion processes
option pricing
real option
diffusion process
partial differential equations
denoising
anisotropic diffusion
information diffusion
scale spaces
total variation
diffusion tensor
diffusion equation
scale space
image denoising
noise removal
structure tensor