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A new exact solution for pricing European options in a two-state regime-switching economy.
Song-Ping Zhu
Alexander Badran
Xiaoping Lu
Published in:
Comput. Math. Appl. (2012)
Keyphrases
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exact solution
exact algorithms
option pricing
optimal solution
lower bound
column generation
feature extraction
high dimensional
state space
search strategies
financial markets
computationally challenging