Convergence of estimated option price in a regime switching market

DOI10.1007/s13226-016-0182-7zbMath1414.91373arXiv1506.03621OpenAlexW593246689MaRDI QIDQ2520133

Sanket Nandan, Anindya Goswami

Publication date: 13 December 2016

Published in: Indian Journal of Pure \& Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.03621

zbMATH Keywords

Volterra integral equationsemi-Markov processesoptimal hedginglocally risk minimizing pricingnon-local parabolic PDE

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Volterra integral equations (45D05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

Inference of binary regime models with jump discontinuities ⋮ A system of non-local parabolic PDE and application to option pricing

Cites Work

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• Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
• Option Pricing With Markov-Modulated Dynamics
• Risk Minimizing Option Pricing in a Semi-Markov Modulated Market
• Risk Minimizing Option Pricing in a Regime Switching Market

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