Option Pricing With Markov-Modulated Dynamics (Q3427488)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Option Pricing With Markov-Modulated Dynamics |
scientific article; zbMATH DE number 5134921
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Option Pricing With Markov-Modulated Dynamics |
scientific article; zbMATH DE number 5134921 |
Statements
Option Pricing With Markov-Modulated Dynamics (English)
0 references
20 March 2007
0 references
Markov-modulated
0 references
Markov-chain
0 references
option
0 references
Black-Scholes model
0 references
Wiener-Hopf factorization
0 references
risk-sensitive control
0 references
regime switching
0 references
0.8544129133224487
0 references
0.8465966582298279
0 references
0.8183389902114868
0 references
0.8128612637519836
0 references
0.8121827244758606
0 references
