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  • Convergence of estimated option price in a regime switching market 
    GOSWAMI, ANINDYA; Nandan, Sanket (Springer Nature, 2016-06)
    In an observed semi-Markov regime, estimation of transition rate of regime switching leads towards calculation of locally risk minimizing option price. Despite the uniform convergence of estimated step function of transition ...
  • A system of non-local parabolic PDE and application to option pricing 
    GOSWAMI, ANINDYA; Patel, Jeeten; Shevgaonkar, Poorva (Taylor & Francis, 2016-07)
    This article includes a proof of well posedness of an initial-boundary value problem involving a system of non-local parabolic partial differential equation (PDE), which naturally arises in the study of derivative pricing ...
  • Pricing derivatives in a regime switching market with time inhomogenous volatility 
    DAS, MILAN KUMAR; GOSWAMI, ANINDYA; PATANKAR, TANMAY (Taylor & Francis, 2018-03)
    This paper studies pricing derivatives in a componentwise semi-Markov (CSM) modulated market. We consider a financial market where the asset price dynamics follows a regime switching geometric Brownian motion model in which ...

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