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This repository provides metadata of IIMB Publications and aimed at creating and preserving an archive of Institution scholarship. IIMB Publications include Articles, Working Papers (FULL TEXT), Book Chapters published by Faculty, Doctoral Dissertations by FPM Scholars and Project reports of Students enrolled in various courses of IIMB.
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https://repository.iimb.ac.in/handle/2074/10972| Title: | Asymptotic analysis of option pricing in a Markov modulated market | Authors: | Basu, Arnab Ghosh, Mrinal K |
Keywords: | Regime Switching Market;Minimal Martingale Measure;Risk Minimizing Option Price;Asymptotic Expansion | Issue Date: | 2009 | Publisher: | Elsevier Science Bv | Abstract: | We address asymptotic analysis of option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of the stocks depend on a finite state Markov chain. We study two variations of the chain namely, when the chain is moving very fast compared to the underlying asset price and when it is moving very slow. Using quadratic hedging and asymptotic expansion, we derive corrections on the locally risk minimizing option price. (C) 2009 Elsevier B.V. All rights reserved. | URI: | https://repository.iimb.ac.in/handle/2074/10972 | ISSN: | 0167-6377 1872-7468 |
DOI: | 10.1016/j.orl.2009.06.005 |
| Appears in Collections: | 2000-2009 |
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