Option Pricing With Markov-Modulated Dynamics (Q3427488): Difference between revisions
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Latest revision as of 02:22, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option Pricing With Markov-Modulated Dynamics |
scientific article |
Statements
Option Pricing With Markov-Modulated Dynamics (English)
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20 March 2007
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Markov-modulated
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Markov-chain
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option
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Black-Scholes model
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Wiener-Hopf factorization
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risk-sensitive control
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regime switching
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