Asymptotic analysis of option pricing in a Markov modulated market
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software
Reference14 articles.
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3. Information and option pricing;Guo;Quant. Finance,2002
4. Closed form solutions for perpetual American put options with regime switching;Guo;SIAM J. Appl. Math.,2004
5. Explicit solutions to European options in a regime switching economy;Mamon;Oper. Res. Lett.,2005
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4. Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility;Operations Research Letters;2011-07
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