Locally risk minimizing pricing of Asian option in a semi-Markov modulated market

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastic Analysis and Applications Pub Date : 2024-01-08 DOI:10.1080/07362994.2023.2295246

Bihan Chatterjee, Anindya Goswami, Ludger Overbeck

引用次数: 0

Abstract

We consider a regime-switching model where the stock volatility dynamics is a semi-Markov process. Under this model assumption, we find the locally risk-minimizing price of some Asian options with ...

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半马尔可夫调制市场中亚洲期权的局部风险最小化定价

我们考虑了一个制度转换模型，其中股票波动动态是一个半马尔可夫过程。在此模型假设下，我们找到了一些亚洲期权的局部风险最小化价格，其...

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来源期刊

Stochastic Analysis and Applications 数学-统计学与概率论

CiteScore

2.70

自引率

7.70%

发文量

审稿时长

6-12 weeks

期刊介绍： Stochastic Analysis and Applications presents the latest innovations in the field of stochastic theory and its practical applications, as well as the full range of related approaches to analyzing systems under random excitation. In addition, it is the only publication that offers the broad, detailed coverage necessary for the interfield and intrafield fertilization of new concepts and ideas, providing the scientific community with a unique and highly useful service.