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  • Biswas, Arunangshu; GOSWAMI, ANINDYA; Overbeck, Ludger (Elsevier B.V., 2018-07)
    We consider a regime switching stochastic volatility model where the stock volatility dynamics is a semi-Markov modulated square root mean reverting process. Under this model assumption, we find the locally risk minimizing ...
  • CHATTERJEE, BIHAN; GOSWAMI, ANINDYA; Overbeck, Ludger (Taylor & Francis, 2024-01)
    We consider a regime-switching model where the stock volatility dynamics is a semi-Markov process. Under this model assumption, we find the locally risk-minimizing price of some Asian options with European-style exercise. ...

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