A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES
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Publication:4286354
DOI10.15807/jorsj.36.149zbMath0793.90009MaRDI QIDQ4286354
Masaaki Kijima, Toshihiro Yoshida
Publication date: 27 March 1994
Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.15807/jorsj.36.149
91B24: Microeconomic theory (price theory and economic markets)
93E03: Stochastic systems in control theory (general)
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