Option Pricing under Delay Geometric Brownian Motion with Regime Switching
نویسندگان
چکیده
منابع مشابه
Option pricing under regime switching
This paper develops a family of option pricing models when the underlying stock price dynamic is modelled by a regime switching process in which prices remain in one volatility regime for a random amount of time before switching over into a new regime. Our family includes the regime switching models of Hamilton (Hamilton J 1989 Econometrica 57 357–84), in which volatility influences returns. In...
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ژورنال
عنوان ژورنال: Science Journal of Applied Mathematics and Statistics
سال: 2016
ISSN: 2376-9491
DOI: 10.11648/j.sjams.20160406.13