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Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/36644
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dc.contributor.authorBuffington, J.-
dc.contributor.authorElliott, R.-
dc.date.issued2002-
dc.identifier.citationStochastic Theory and Control -Proceedings of a Workshop held in Lawrence, Kansas, 2002, pp.73-81-
dc.identifier.isbn3540437770-
dc.identifier.urihttp://hdl.handle.net/2440/36644-
dc.descriptionThe original publication is available at www.springerlink.com-
dc.description.abstractWe 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.-
dc.description.statementofresponsibilityJohn Buffington, Robert J. Elliott-
dc.language.isoen-
dc.publisherSpringer-Verlag-
dc.source.urihttp://www.springerlink.com/content/fvqnhe6vjhg7chka/-
dc.titleRegime switching and European options-
dc.typeBook chapter-
dc.publisher.placeBerlin, Germany-
pubs.publication-statusPublished-
Appears in Collections:Aurora harvest 6
Mathematical Sciences publications

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