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- W2004312389 abstract "We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov process. Using the minimal martingale measure, we show that the locally risk minimizing prices for certain exotic options satisfy a system of Black-Scholes partial differential equations with appropriate boundary conditions. We find the corresponding hedging strategies and the residual risk. We develop suitable numerical methods to compute option prices." @default.
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- W2004312389 date "2011-02-25" @default.
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- W2004312389 title "Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market" @default.
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- W2004312389 doi "https://doi.org/10.1080/07362994.2011.548665" @default.
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