Pricing and managing risks of European-style options in a Markovian regime-switching binomial model

DOI10.1007/s10436-012-0192-3zbMath1298.91163OpenAlexW2171023965MaRDI QIDQ470671

Tak Kuen Siu, Farzad Alavi Fard

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-012-0192-3

zbMATH Keywords

regime switchingbinomial treeminimum entropy martingale measure

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) Derivative securities (option pricing, hedging, etc.) (91G20)

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