Journal article

LOOKBACK OPTION PRICING FOR REGIME-SWITCHING JUMP DIFFUSION MODELS

Zhuo Jin, Linyi Qian

MATHEMATICAL CONTROL AND RELATED FIELDS | AMER INST MATHEMATICAL SCIENCES | Published : 2015

University of Melbourne Researchers

Grants

Awarded by National Natural Science Foundation of China


Awarded by Innovation Program of Shanghai Municipal Education Commission


Awarded by Doctoral Program Foundation of the Ministry of Education of China


Awarded by Shanghai Municipal Natural Science Foundation


Awarded by Program of Shanghai Subject Chief Scientist


Awarded by 111 Project


Funding Acknowledgements

This work was supported in part by National Natural Science Foundation of China (11231005, 11301189), Innovation Program of Shanghai Municipal Education Commission (15ZZ023), Doctoral Program Foundation of the Ministry of Education of China (20130076120007), Shanghai Municipal Natural Science Foundation (12ZR1408300), Program of Shanghai Subject Chief Scientist (14XD1401600), the 111 Project(B14019), Early Career Research Grant and Faculty Research Grant of University of Melbourne.