Pricing derivatives in a regime switching market with time inhomogenous volatility (Q4685700)
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scientific article; zbMATH DE number 6949206
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing derivatives in a regime switching market with time inhomogenous volatility |
scientific article; zbMATH DE number 6949206 |
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Pricing derivatives in a regime switching market with time inhomogenous volatility (English)
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9 October 2018
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semi-Markov processes
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time inhomogenous volatility
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Volterra integral equation
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non-local parabolic PDE
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locally risk minimizing pricing
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