Convergence of estimated option price in a regime switching market (Q2520133)
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scientific article
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| English | Convergence of estimated option price in a regime switching market |
scientific article |
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Convergence of estimated option price in a regime switching market (English)
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13 December 2016
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semi-Markov processes
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Volterra integral equation
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non-local parabolic PDE
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locally risk minimizing pricing
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optimal hedging
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0.9036442
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0.90009344
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0.89908135
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0.89863557
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0.8985479
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0.89836836
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