Risk Minimizing Option Pricing in a Semi-Markov Modulated Market.

Mrinal K. Ghosh Anindya Goswami

Published in: SIAM J. Control. Optim. (2009)

Keyphrases

black scholes
option pricing
markov modulated
poisson process
stock price
decision analysis
fuzzy numbers
numerical methods
stock exchange
financial markets
real option
arrival rate
stock market
influence diagrams
lead time
black scholes model
non stationary
risk management
steady state