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Contingent valuation with heterogeneous reasons for uncertainty

✍ Scribed by Daniel R. Petrolia; Tae-Goun Kim

Book ID
116859944
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
336 KB
Volume
33
Category
Article
ISSN
0928-7655

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In this paper, we provide an analytic valuation method for European-type contingent claims written on multiple assets in a stochastic market environment. We employ a two-state Markov regime-switching volatility in order to reflect stochastically changing market conditions. The method is developed by