Add to ORKGThe original publication is available at www.springerlink.comWe consider a Black-Scholes market in which the underlying economy, as modelled by the parameters and volatility of the processes, switches between a finite number of states. The switching is modelled by a hidden Markov chain. European options are priced and a Black-Scholes equation obtained.John Buffington, Robert J. Elliot
2020 Elsevier B.V. In this paper, we investigate the European option pricing problem under a regime ...
We study the pricing and hedging of European-style derivative securities in a Markov, regime-switchi...
We consider the pricing of exotic options when the price dynamics of the underlying risky asset are ...
© World Scientific Publishing CompanyA Black-Scholes market is considered in which the underlying ec...
An exact solution for the valuation of the options of the European style can be obtained using the B...
In this article, we consider a model of time-varying volatility which generalizes the classical Blac...
[[abstract]]In this article, we consider a model of time-varying volatility which generalizes the cl...
We provide closed-form solutions for European option values when the dynamics of both the short rate...
We consider the valuation of both European-style and American-style barrier options in a Markovian, ...
This article discusses option pricing in a Markov regime-switching model with a random acceleration ...
We study option pricing in a regime switching market where the risk free interest rate, growth rate ...
We discuss the pricing and risk management problems of standard European-style options in a Markovia...
Derivative pricing, and in particular the pricing of options, is an important area of current resear...
In this paper, we discuss a Markov chain approximation method to price European options, American op...
We study option pricing in a regime switching market where the risk free interest rate, growth rate ...
2020 Elsevier B.V. In this paper, we investigate the European option pricing problem under a regime ...
We study the pricing and hedging of European-style derivative securities in a Markov, regime-switchi...
We consider the pricing of exotic options when the price dynamics of the underlying risky asset are ...
© World Scientific Publishing CompanyA Black-Scholes market is considered in which the underlying ec...
An exact solution for the valuation of the options of the European style can be obtained using the B...
In this article, we consider a model of time-varying volatility which generalizes the classical Blac...
[[abstract]]In this article, we consider a model of time-varying volatility which generalizes the cl...
We provide closed-form solutions for European option values when the dynamics of both the short rate...
We consider the valuation of both European-style and American-style barrier options in a Markovian, ...
This article discusses option pricing in a Markov regime-switching model with a random acceleration ...
We study option pricing in a regime switching market where the risk free interest rate, growth rate ...
We discuss the pricing and risk management problems of standard European-style options in a Markovia...
Derivative pricing, and in particular the pricing of options, is an important area of current resear...
In this paper, we discuss a Markov chain approximation method to price European options, American op...
We study option pricing in a regime switching market where the risk free interest rate, growth rate ...
2020 Elsevier B.V. In this paper, we investigate the European option pricing problem under a regime ...
We study the pricing and hedging of European-style derivative securities in a Markov, regime-switchi...
We consider the pricing of exotic options when the price dynamics of the underlying risky asset are ...