Option pricing with Markov-modulated dynamics

SIAM Journal on Control and Optimization

Volumn 44, Issue 6, 2006, Pages 2063-2078

  Jobert, A ^a   Rogers, L C G ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Black Scholes model; Markov chain; Markov modulated; Option; Regime switching; Risk sensitive control; Wiener Hopf factorization

Indexed keywords

FINITE ELEMENT METHOD; MARKOV PROCESSES; MATHEMATICAL MODELS; NUMERICAL METHODS; PROBLEM SOLVING;

BLACK-SCHOLES MODEL; MARKOV-MODULATED DYNAMICS; REGIME SWITCHING; RISK SENSITIVE CONTROL; WIENER-HOPF FACTORIZATION;

COST ACCOUNTING;

EID: 33751161904     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/050623279     Document Type: Article

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