A markov modulated financial model

DOI10.1080/15326349808807468zbMath0934.60061OpenAlexW2058468548MaRDI QIDQ4385218

Mogens Bladt

Publication date: 3 April 2000

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349808807468

zbMATH Keywords

random environmentdevaluationBlack-Scholes formulabinomial formulaoptions pricing

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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