Abstract

In this paper, power options pricing is driven via time-fractional PDE when the dynamic of underlying asset price follows a regime switching model in which the risky underlying asset depends on a continuous-time hidden Markov chain process. An exact solution for power options pricing is driven under our considered model.

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call