Locally risk minimizing pricing of Asian option in a semi-Markov modulated market

DOI10.1080/07362994.2023.2295246MaRDI QIDQ6131986OpenAlexFDO

Authors Anindya Goswami, L. Overbeck

Publication date 18 April 2024

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2023.2295246

zbMATH Keywords

regime switching modelAsian optionlocally risk minimizing pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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