Asymptotic analysis of option pricing in a Markov modulated market

DOI10.1016/J.ORL.2009.06.005zbMath1182.91166OpenAlexW1974947350MaRDI QIDQ1043251

Mrinal K. Ghosh, Arnab K. Basu

Publication date: 7 December 2009

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

Full work available at URL: https://doi.org/10.1016/j.orl.2009.06.005

zbMATH Keywords

asymptotic expansionminimal martingale measureregime switching marketrisk minimizing option price

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility ⋮ Option pricing under a normal mixture distribution derived from the Markov tree model ⋮ Feynman–Kac formulas for regime-switching jump diffusions and their applications

Cites Work

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• Explicit solutions to European options in a regime-switching economy
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Option Pricing With Markov-Modulated Dynamics
• Information and option pricings
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• European option pricing when the riskfree interest rate follows a jump process
• Risk Minimizing Option Pricing in a Regime Switching Market

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