Adelaide Research & Scholarship
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https://hdl.handle.net/2440/461
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Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Buffington, J. | - |
| dc.contributor.author | Elliott, R. | - |
| dc.date.issued | 2002 | - |
| dc.identifier.citation | International Journal of Theoretical and Applied Finance, 2002; 5(5):497-514 | - |
| dc.identifier.issn | 0219-0249 | - |
| dc.identifier.issn | 1793-6322 | - |
| dc.identifier.uri | http://hdl.handle.net/2440/461 | - |
| dc.description | © World Scientific Publishing Company | - |
| dc.description.abstract | A Black-Scholes market is considered in which the underlying economy, as modeled by the parameters and volatility of the processes, switches between a nite number of states. The switching is modeled by a hidden Markov chain. European options are priced and a Black-Scholes equation obtained. The approximate valuation of American options due to Barone-Adesi and Whaley is extended to this setting. | - |
| dc.description.statementofresponsibility | John Buffington; Robert J. Elliott | - |
| dc.language.iso | en | - |
| dc.publisher | World Scientific Publishing Co Pte Ltd | - |
| dc.source.uri | http://dx.doi.org/10.1142/s0219024902001523 | - |
| dc.subject | Option pricing | - |
| dc.subject | free boundary problem | - |
| dc.subject | Black-Scholes equation. | - |
| dc.title | American options with regime switching | - |
| dc.type | Journal article | - |
| dc.identifier.doi | 10.1142/S0219024902001523 | - |
| pubs.publication-status | Published | - |
| Appears in Collections: | Applied Mathematics publications Aurora harvest 6 | |
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