کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1142762 957163 2009 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymptotic analysis of option pricing in a Markov modulated market
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات گسسته و ترکیبات
پیش نمایش صفحه اول مقاله
Asymptotic analysis of option pricing in a Markov modulated market
چکیده انگلیسی

We address asymptotic analysis of option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of the stocks depend on a finite state Markov chain. We study two variations of the chain namely, when the chain is moving very fast compared to the underlying asset price and when it is moving very slow. Using quadratic hedging and asymptotic expansion, we derive corrections on the locally risk minimizing option price.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Operations Research Letters - Volume 37, Issue 6, November 2009, Pages 415–419
نویسندگان
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