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- W2023946479 abstract "Abstract We study option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of a stock depends on a finite state Markov chain. Using a minimal martingale measure we show that the risk minimizing option price satisfies a system of Black–Scholes partial differential equations with weak coupling." @default.
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- W2023946479 date "2008-03-07" @default.
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- W2023946479 title "Risk Minimizing Option Pricing in a Regime Switching Market" @default.
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- W2023946479 doi "https://doi.org/10.1080/07362990701857194" @default.
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