22 citations · 64 across the 18 of their papers we have counts for
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q-fin.PR2015★ 4 cited
Convergence of Estimated Option Price in a Regime switching Market
Anindya Goswami, Sanket Nandan
In an observed generalized semi-Markov regime, estimation of transition rate of regime switching leads towards calculation of locally risk minimizing option price. Despite the unif…
math.AP2015★ 10 cited
A system of non-local parabolic PDE and application to option pricing
Anindya Goswami, Jeeten Patel, Poorva Shevgaonkar
This paper includes a proof of well-posedness of an initial-boundary value problem involving a system of degenerate non-local parabolic PDE which naturally arises in the study of d…