PRICING MULTI-ASSET DERIVATIVES WITH REGIME-SWITCHING VOLATILITIES

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Published: May 15, 2014
DOI: https://doi.org/10.14403/jcms.2014.27.2.237
Keywords:
regime-switching, multivariate contingent claim, pricing derivatives
Mathematics Subject Classification (2020):
Primary 91G20

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Kum-Hwan Roh
Department of Mathematics, Hannam University

Abstract





In this paper we provide a valuation method for multiasset 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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Article Details

Issue
Vol. 27 No. 2 (2014)
Section
Articles