Pricing derivatives in a regime switching market with time inhomogenous volatility

DOI10.1080/07362994.2018.1448996zbMath1401.60164arXiv1611.02026OpenAlexW3106072905WikidataQ130085060 ScholiaQ130085060MaRDI QIDQ4685700

Anindya Goswami, Milan Kumar Das, Tanmay S. Patankar

Publication date: 9 October 2018

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.02026

zbMATH Keywords

Volterra integral equationsemi-Markov processeslocally risk minimizing pricingnon-local parabolic PDEtime inhomogenous volatility

Mathematics Subject Classification ID

Related Items (3)

Inference of binary regime models with jump discontinuities ⋮ Semimartingale representation of a class of semi-Markov dynamics ⋮ Wavelet-optimized compact finite difference method for convection-diffusion equations

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