Adelaide Research & Scholarship
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https://hdl.handle.net/2440/36644
| Type: | Book chapter |
| Title: | Regime switching and European options |
| Author: | Buffington, J. Elliott, R. |
| Citation: | Stochastic Theory and Control -Proceedings of a Workshop held in Lawrence, Kansas, 2002, pp.73-81 |
| Publisher: | Springer-Verlag |
| Publisher Place: | Berlin, Germany |
| Issue Date: | 2002 |
| ISBN: | 3540437770 |
| Statement of Responsibility: | John Buffington, Robert J. Elliott |
| Abstract: | We consider a Black-Scholes market in which the underlying economy, as modelled by the parameters and volatility of the processes, switches between a finite number of states. The switching is modelled by a hidden Markov chain. European options are priced and a Black-Scholes equation obtained. |
| Description: | The original publication is available at www.springerlink.com |
| Published version: | http://www.springerlink.com/content/fvqnhe6vjhg7chka/ |
| Appears in Collections: | Aurora harvest 6 Mathematical Sciences publications |
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