| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10523990 | Operations Research Letters | 2005 | 6 Pages |
Abstract
We provide closed-form solutions for European option values when the dynamics of both the short rate and volatility of the underlying price process are modulated by a continuous-time Markov chain with a finite number of “economic states”. Extensions involving dividends, currencies and cost of carry are further explored.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Rogemar S. Mamon, Marianito R. Rodrigo,