Asymptotic analysis of option pricing in a Markov modulated market.
Arnab BasuMrinal K. GhoshPublished in: Oper. Res. Lett. (2009)
Keyphrases
- option pricing
- asymptotic analysis
- markov modulated
- fluid model
- arrival process
- black scholes
- poisson process
- stock price
- arrival rate
- decision analysis
- stochastic model
- real option
- queueing networks
- steady state
- stock exchange
- queueing systems
- stock market
- black scholes model
- heavy traffic
- call center
- non stationary
- queueing model
- state dependent
- neural network
- financial markets
- multi criteria
- gaussian process
- influence diagrams
- dynamic programming
- prior knowledge