Risk Minimizing Option Pricing in a Regime Switching Market

DOI10.1080/07362990701857194zbMath1133.91415OpenAlexW2023946479MaRDI QIDQ5459758

Mrinal K. Ghosh, Amogh Deshpande

Publication date: 29 April 2008

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

Full work available at URL: https://doi.org/10.1080/07362990701857194

zbMATH Keywords

minimal martingale measureBlack-Scholes equationsregime switching marketrisk minimizing option price

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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