2 papers
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…
q-fin.MF2016
Asset Pricing in a Semi-Markov Modulated Market with Time-dependent Volatility
Tanmay S. Patankar
This project attempts to address the problem of asset pricing in a financial market, where the interest rates and volatilities exhibit regime switching. This is an extension of the…