Adelaide Research & Scholarship
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https://hdl.handle.net/2440/45956
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| Type: | Book chapter |
| Title: | Pricing options and variance swaps in Markov-Modulated Brownian markets |
| Author: | Elliott, R. Swishchuk, A. |
| Citation: | Hidden Markov Models in Finance, 2007 / Mamon, R., Elliott, R. (ed./s), pp.45-68 |
| Publisher: | Springer |
| Publisher Place: | New York, USA |
| Issue Date: | 2007 |
| Series/Report no.: | International Series in Operations Research & Management Science ; 104 |
| ISBN: | 9780387710815 |
| Editor: | Mamon, R. Elliott, R. |
| Statement of Responsibility: | Robert J. Elliot and Anatoliy V. Swishchuk |
| DOI: | 10.1007/0-387-71163-5_4 |
| Description (link): | http://www.springer.com/business/operations+research/book/978-0-387-71081-5 |
| Published version: | http://dx.doi.org/10.1007/0-387-71163-5_4 |
| Appears in Collections: | Aurora harvest 6 Mathematical Sciences publications |
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