Journal of the Chungcheong Mathematical Society (충청수학회지)

The Chungcheong Mathematical Society (충청수학회)
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PRICING MULTI-ASSET DERIVATIVES WITH REGIME-SWITCHING VOLATILITIES

  • Received : 2014.01.17
  • Accepted : 2014.04.07
  • Published : 2014.05.15
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Abstract

In this paper we provide a valuation method for multi-asset derivatives with single jump regime-switching volatilities. We suppse that volatilities of assets are affected by an n-dimensional independent Markov regime-switching process.

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References

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