Explicit solutions to European options in a regime-switching economy
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software
Reference22 articles.
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2. The pricing of options and corporate liabilities;Black;J. Political Economy,1973
3. Term structure dynamics in theory and reality;Dai;Rev. Financial Stud.,2003
4. Mean-variance hedging of options on stocks with Markov volatility;di Masi;Theory Probab. Appl.,1994
5. Duration-dependent transitions in a Markov model of U.S. GNP growth;Durland;J. Bus. Econom. Statist.,1994
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