A markov modulated financial model

DOI10.1080/15326349808807468MaRDI QIDQ4385218zbMATH OpenOpenAlexFDO

Authors Mogens Bladt

Publication date 3 April 2000

Published in Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349808807468

zbMATH Keywords

binomial formulaBlack-Scholes formuladevaluationoptions pricingrandom environment

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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Cited in

(5)

• Harnack type estimates for nonlinear elliptic systems and applications
• A semi-Markov modulated interest rate model
• A finite discrete-time model of financial markets.
• Pricing derivatives under a Markov skeleton process
• Pricing Derivatives Incorporating Structural Market Changes and in Time Correlation

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