Pricing Derivatives Incorporating Structural Market Changes and in Time Correlation

DOI10.1080/15326340802437751zbMath1151.91050OpenAlexW2049550862MaRDI QIDQ3548737

Enrique Méndez, Pablo Padilla, Mogens Bladt

Publication date: 17 December 2008

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340802437751

zbMATH Keywords

Black-Scholestime correlationMarkov modulated model

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

Continuous dependence estimates and homogenization of quasi-monotone systems of fully nonlinear second order parabolic equations

Cites Work

• Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
• Effective Markovian approximation for non-Gaussian noises: A path integral approach
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