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Functional of the Diffusion Path of a Two-State Markov-Chain Model for Option Pricing

James Redekop

出版	SSRN, 2013
URL	http://books.google.com.hk/books?id=O5YozwEACAAJ&hl=&source=gbs_api

註釋

This paper studies the functional of the path of a diffusion in which volatility switches between two states: high and low. For this two-state Markov-chain model, we derive a closed-form expression for the distribution function for the time spent in the high volatility state by guessing the form of, and calculating the coefficients in, the solution to a pair of integral equations.