Option Pricing With Markov-Modulated Dynamics
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Publication:3427488
DOI10.1137/050623279zbMath1158.91380OpenAlexW2032055260MaRDI QIDQ3427488
Publication date: 20 March 2007
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/050623279
regime switchingBlack-Scholes modelWiener-Hopf factorizationoptionMarkov-modulatedrisk-sensitive controlMarkov-chain
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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