Risk Minimizing Option Pricing in a Semi-Markov Modulated Market
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Publication:3566975
DOI10.1137/080716839zbMath1193.91155OpenAlexW1987709497MaRDI QIDQ3566975
Anindya Goswami, Mrinal K. Ghosh
Publication date: 10 June 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/080716839
minimal martingale measureBlack-Scholes equationslocally risk minimizing option pricesemi-Markov modulated market
Markov renewal processes, semi-Markov processes (60K15) Derivative securities (option pricing, hedging, etc.) (91G20)
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