Asset Pricing in a Semi-Markov Modulated Market with Time-dependent Volatility
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Cited by:
- Milan Kumar Das & Anindya Goswami & Tanmay S. Patankar, 2016. "Pricing Derivatives in a Regime Switching Market with Time Inhomogeneous Volatility," Papers 1611.02026, arXiv.org.
- Anindya Goswami & Omkar Manjarekar & Anjana R, 2018. "Option Pricing in a Regime Switching Jump Diffusion Model," Papers 1811.11379, arXiv.org, revised Oct 2019.
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This paper has been announced in the following NEP Reports:- NEP-ORE-2016-09-25 (Operations Research)
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