A regime-switching model with the volatility smile for two-asset European options

Junseok Kim, Darae Jeong, Dong-Hoon Shin. A regime-switching model with the volatility smile for two-asset European options. Automatica, 50(3):747-755, 2014. [doi]

Authors

Junseok Kim

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Darae Jeong

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Dong-Hoon Shin

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