Elliott, Robert; Swishchuk, Anatoliy - Department of Economics, University of Calgary - 2007
The Markov-modulated (B; S)-securities market is a (B; S)-security market, consisting of riskless asset, bond B; and risky asset, stock S; in random media X; or (B; S)-security market driven by a Markov process xt 2 X: We study the pricing options for Markovmodulated fractional Brownian (B;...
