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Option Pricing With Markov-Modulated Dynamics - MaRDI portal

Option Pricing With Markov-Modulated Dynamics (Q3427488)

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Option Pricing With Markov-Modulated Dynamics
scientific article

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    title
    Option Pricing With Markov-Modulated Dynamics (English)
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    DOI
    10.1137/050623279
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    author
    A. Jobert
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    L. C. G. Rogers
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    publication date
    20 March 2007
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    Mathematics Subject Classification ID
    91G20
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    60H10
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    60H30
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    93E20
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    zbMATH DE Number
    5134921
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    zbMATH Keywords
    Markov-modulated
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    Markov-chain
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    option
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    Black-Scholes model
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    Wiener-Hopf factorization
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    risk-sensitive control
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    regime switching
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    OpenAlex ID
    W2032055260
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