Pricing derivatives incorporating structural market changes and in time correlation

Stochastic Models

Volumn 24, Issue SUPPL. 1, 2008, Pages 164-183

  Bladt, Mogens ^a   Mendez, Enrique ^a   Padilla, Pablo ^a  

^a IIMAS UNAM   (Mexico)

Author keywords

Black Scholes; Markov modulated model; Time correlation

Indexed keywords

BLACK-SCHOLES; ECONOMIC VARIABLES; EUROPEANS; EXPLICIT FORMULAS; MARKOV MODULATED MODEL; MARKOVIAN APPROXIMATIONS; MARKOVIAN PROCESSES; NUMERICAL SIMULATIONS; STATE VARIABLES; STRUCTURAL CHANGES; STRUCTURAL MARKETS; TIME CORRELATION; TIME CORRELATIONS;

CORRELATION METHODS;

EID: 55849150963     PISSN: 15326349     EISSN: 15324214     Source Type: Journal    
DOI: 10.1080/15326340802437751     Document Type: Conference Paper

References (11)

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