Deshpande, Amogh ; Ghosh, Mrinal K. (2008) Risk minimizing option pricing in a regime switching market Stochastic Analysis and Applications, 26 (2). pp. 313-324. ISSN 0736-2994
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Official URL: http://www.informaworld.com/smpp/content~db=all~co...
Related URL: http://dx.doi.org/10.1080/07362990701857194
Abstract
We study option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of a stock depends on a finite state Markov chain. Using a minimal martingale measure we show that the risk minimizing option price satisfies a system of Black-Scholes partial differential equations with weak coupling.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Taylor and Francis Ltd. |
| Keywords: | Black-scholes Equations; Minimal Martingale Measure; Risk Minimizing Option Price; Regime Switching Market |
| ID Code: | 11952 |
| Deposited On: | 13 Nov 2010 13:30 |
| Last Modified: | 02 Jun 2011 07:36 |
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