Volterra equation for pricing and hedging in a regime switching market
Year of publication: |
2014
|
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Authors: | Goswami, Anindya ; Saini, Ravi Kant |
Published in: |
Cogent economics & finance. - Abingdon : Taylor & Francis, ISSN 2332-2039, ZDB-ID 2773198-4. - Vol. 2.2014, 1, p. 1-11
|
Subject: | Markov modulated market | locally risk minimizing option price | Black–Scholes–Merton equations | Volterra equation | quadrature method | Optionspreistheorie | Option pricing theory | Hedging | Markov-Kette | Markov chain |
Extent: | graph. Darst. |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1080/23322039.2014.939769 [DOI] hdl:10419/147723 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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