Volterra equation for pricing and hedging in a regime switching market
It is known that the risk minimizing price of European options in Markov-modulated market satisfies a system of coupled PDE, known as generalized B–S–M PDE. In this paper, another system of equations, which can be categorized as a Volterra integral equations of second kind, are considered. It is sho...
| Autores principales: | , |
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| Formato: | Artículo |
| Lenguaje: | English |
| Publicado: |
Taylor & Francis Group
2014-12-01
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| Colección: | Cogent Economics & Finance |
| Materias: | |
| Acceso en línea: | http://dx.doi.org/10.1080/23322039.2014.939769 |