Asymptotic analysis of option pricing in a Markov modulated market

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Please use this identifier to cite or link to this item: https://repository.iimb.ac.in/handle/2074/10972

DC Field	Value	Language
dc.contributor.author	Basu, Arnab
dc.contributor.author	Ghosh, Mrinal K
dc.date.accessioned	2020-03-23T09:25:14Z	-
dc.date.available	2020-03-23T09:25:14Z	-
dc.date.issued	2009
dc.identifier.issn	0167-6377
dc.identifier.issn	1872-7468
dc.identifier.uri	https://repository.iimb.ac.in/handle/2074/10972	-
dc.description.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.
dc.description.sponsorship	IIM Bangalore [22059]; DSTDepartment of Science & Technology (India) [SR/S4/MS:379/06]; UGCUniversity Grants Commission, India
dc.publisher	Elsevier Science Bv
dc.subject	Regime Switching Market
dc.subject	Minimal Martingale Measure
dc.subject	Risk Minimizing Option Price
dc.subject	Asymptotic Expansion
dc.title	Asymptotic analysis of option pricing in a Markov modulated market
dc.type	Journal Article
dc.identifier.doi	10.1016/j.orl.2009.06.005
dc.pages	415-419p.
dc.vol.no	Vol.37	-
dc.issue.no	Iss.6	-
dc.journal.name	Operations Research Letters
Appears in Collections:	2000-2009

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