The Pricing and Hedging of an Attainable Claim in a Hybrid Black–Scholes Model under Regime Switching
This article formulates and dissects a Black–Scholes model with regime switching that can be used to describe the performance of a complete market. An explicit integrand formula ϕt,ω is obtained when the T-claim Fω is given for an attainable claim in this complete market. In addition, some perfect r...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2021/5592901 |
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