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Efficiently pricing barrier options in a Markov-switching framework · Study

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ArticleEfficiently pricing barrier options in a Markov-switching framework

Peter Hieber2010

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Articlebronze2010

Efficiently pricing barrier options in a Markov-switching framework

Peter Hieber · Matthias A. Scherer

20 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Markov Chains and Monte Carlo Methods

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References

1973The Pricing of Options and Corporate Liabilities 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1999Option valuation using the fast Fourier transform 2002International Asset Allocation With Regime Shifts 1997Monte Carlo methods for security pricing 2002AMERICAN OPTIONS WITH REGIME SWITCHING 2005Option pricing and Esscher transform under regime switching

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Year2010

Typearticle

Published2010-07-04

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2010.06.021

openalex_workW1979101041

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