Asymptotic analysis of option pricing in a Markov modulated market (Q1043251)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Asymptotic analysis of option pricing in a Markov modulated market |
scientific article; zbMATH DE number 5643630
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic analysis of option pricing in a Markov modulated market |
scientific article; zbMATH DE number 5643630 |
Statements
Asymptotic analysis of option pricing in a Markov modulated market (English)
0 references
7 December 2009
0 references
regime switching market
0 references
minimal martingale measure
0 references
risk minimizing option price
0 references
asymptotic expansion
0 references
0.93292457
0 references
0.9144327
0 references
0.90778685
0 references
0.9035856
0 references
0.89941394
0 references
