Pricing derivatives in a regime switching market with time inhomogenous volatility (Q4685700)

From MaRDI portal
scientific article; zbMATH DE number 6949206
Language Label Description Also known as
English
Pricing derivatives in a regime switching market with time inhomogenous volatility
scientific article; zbMATH DE number 6949206

    Statements

    Pricing derivatives in a regime switching market with time inhomogenous volatility (English)
    0 references
    0 references
    0 references
    0 references
    9 October 2018
    0 references
    semi-Markov processes
    0 references
    time inhomogenous volatility
    0 references
    Volterra integral equation
    0 references
    non-local parabolic PDE
    0 references
    locally risk minimizing pricing
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references