Derivatives pricing in a Markov chain jump-diffusion setting
In this work we develop a Markov Chain Jump-Diffusion (MCJD) model, where we have a financial market in which there are several possible states. Asset prices in the market follow a generalised geometric Brownian motion, with drift and volatility depending on the state of the market. So for example,...
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London School of Economics and Political Science (University of London)
2005
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.417087 |