Explicit solutions to European options in a regime-switching economy

DOI10.1016/j.orl.2004.12.003zbMath1116.91047MaRDI QIDQ813961

Marianito R. Rodrigo, Rogemar S. Mamon

Publication date: 2 February 2006

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2004.12.003

zbMATH Keywords

option pricing; Black-Scholes PDE; Markov chain in continuous time

Mathematics Subject Classification ID

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

Related Items

Risk Minimizing Option Pricing in a Regime Switching Market, Insurance claims modulated by a hidden Brownian marked point process, Asymptotic analysis of option pricing in a Markov modulated market, Option pricing with regime switching by trinomial tree method, Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method, Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market, EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING, Option Pricing in a Jump-Diffusion Model with Regime Switching

Cites Work

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