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Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets · Study

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ChapterPricing Options and Variance Swaps in Markov-Modulated Brownian Markets

Robert James Elliott2007

Chapter2007

Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets

Robert James Elliott · Anatoliy Swishchuk

30 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976The valuation of options for alternative stochastic processes 1981Martingales and stochastic integrals in the theory of continuous trading 1996Modeling the conditional distribution of interest rates as a regime-switching process 1997Martingale Methods in Financial Modelling 1988Rational-expectations econometric analysis of changes in regime

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2012Pricing bond options under a Markovian regime-switching Hull–White model

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Year2007

Typechapter

Published2007-04-25

VenueSpringer eBooks

Languageen

Citations30

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/0-387-71163-5_4

openalex_workW159368019

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