Option Pricing With Markov-Modulated Dynamics
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/050623279
Reference24 articles.
1. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
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4. Risk-Sensitive Control and an Optimal Investment Model
5. Risk-sensitive control and an optimal investment model II
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