Name
Abstract | ||
|---|---|---|
We address risk minimizing option pricing in a semi-Markov modulated market where the floating interest rate depends on a finite state semi-Markov process. The growth rate and the volatility of the stock also depend on the semi-Markov process. Using the Föllmer-Schweizer decomposition we find the locally risk minimizing price for European options and the corresponding hedging strategy. We develop suitable numerical methods for computing option prices. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1137/080716839 | SIAM J. Control and Optimization |
Keywords | Field | DocType |
semi-markov modulated market,option pricing,finite state semi-markov process,corresponding hedging strategy,european option,risk minimizing option pricing,llmer-schweizer decomposition,option price,growth rate,floating interest rate,semi-markov process | Implied volatility,Monte Carlo methods for option pricing,Mathematical optimization,Valuation of options,Rational pricing,Finite difference methods for option pricing,Asian option,Hedge (finance),Floating interest rate,Mathematics | Journal |
Volume | Issue | ISSN |
48 | 3 | 0363-0129 |
Citations | PageRank | References |
2 | 0.41 | 4 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Mrinal K. Ghosh | 1 | 28 | 9.78 |
| Anindya Goswami | 2 | 4 | 1.18 |