Merton-style option pricing under regime switching

John Driffill, Turalay Kenc and Martin Sola

No 304, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: Option pricing; regime switching (search for similar items in EconPapers)
JEL-codes: C51 G12 G13 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-fmk
Date: Written 2002-07-01

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