James Redekop

Independent

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Scholarly Papers (1)

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Functional of the Diffusion Path of a Two-State Markov-Chain Model for Option Pricing

Number of pages: 15 Posted: 27 Mar 2013
James Redekop and Tony S. Wirjanto
Independent and University of Waterloo - School of Accounting and Finance
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Abstract:

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Markov-chain, diffusion, volatility, density