Name
Abstract | ||
|---|---|---|
We address asymptotic analysis of option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of the stocks depend on a finite state Markov chain. We study two variations of the chain namely, when the chain is moving very fast compared to the underlying asset price and when it is moving very slow. Using quadratic hedging and asymptotic expansion, we derive corrections on the locally risk minimizing option price. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1016/j.orl.2009.06.005 | Oper. Res. Lett. |
Keywords | Field | DocType |
underlying asset price,markov modulated market,quadratic hedging,asymptotic expansion,minimal martingale measure,growth rate,risk free interest rate,asymptotic analysis,option pricing,finite state markov chain,risk minimizing option price,option price,regime switching market,mathematics,interest rate | Risk-free interest rate,Implied volatility,Mathematical optimization,Markov process,Valuation of options,Rational pricing,Markov chain,Asymptotic expansion,Asymptotic analysis,Mathematics | Journal |
Volume | Issue | ISSN |
37 | 6 | Operations Research Letters |
Citations | PageRank | References |
2 | 0.47 | 3 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Arnab Basu | 1 | 10 | 3.05 |
| Mrinal K. Ghosh | 2 | 28 | 9.78 |