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q-fin.PR2018
Option Pricing in a Regime Switching Jump Diffusion Model
Anindya Goswami, Omkar Manjarekar, Anjana R
This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The r…
q-fin.PR2017
Option Pricing in a Regime Switching Stochastic Volatility Model
Arunangshu Biswas, Anindya Goswami, Ludger Overbeck
In the classical model of stock prices which is assumed to be Geometric Brownian motion, the drift and the volatility of the prices are held constant. However, in reality, the vola…
q-fin.PR2016
Pricing Derivatives in a Regime Switching Market with Time Inhomogeneous Volatility
Milan Kumar Das, Anindya Goswami, Tanmay S. Patankar
This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geo…