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Option Pricing With Markov-Modulated Dynamics.

A. JobertL. C. G. Rogers
Published in: SIAM J. Control. Optim. (2006)
Keyphrases
  • option pricing
  • markov modulated
  • poisson process
  • black scholes
  • stock price
  • decision analysis
  • black scholes model
  • real option
  • arrival rate
  • non stationary
  • optimal solution
  • long term
  • generative model
  • stock market