Browsing Department of Mathematics by Author "Seaquist, Thomas William"
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Optimal Stopping For Markov Modulated Ito-diffusion With Applications To Finance
Seaquist, Thomas William (Mathematics, 2013-07-22)Despite the outstanding success of the Black-Scholes model, it relies on the assumption that drift and volatility of the underlying equity remain constant throughout time. This inaccuracy has motivated a number of interesting ...