scientific article; zbMATH DE number 6409288

MaRDI QIDQ5176609zbMATH OpenFDO

Authors Dong-Hoon Shin

Publication date 27 February 2015

Full work available at URL http://www.pphmj.com/abstract/8340.htm

zbMATH Keywords

European optionsHJB equationoption pricingregime-switchingsingular perturbation

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) Derivative securities (option pricing, hedging, etc.) (91G20)

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