A path-independent method for barrier option pricing in hidden Markov models (Q1618828): Difference between revisions

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-.1016/j.physa.2015.08.003
@@ Property / DOI: 10.1016/j.physa.2015.08.003 / rank @@
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+Q4905685
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@@ Property / cites work @@
+Empirical Performance and Asset Pricing in Hidden Markov Models
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+Efficiently pricing barrier options in a Markov-switching framework
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+Option pricing with regime switching by trinomial tree method
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+Option pricing in a regime-switching model using the fast Fourier transform
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+Option pricing and Esscher transform under regime switching
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+AMERICAN OPTIONS WITH REGIME SWITCHING
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+Pricing barrier options by a regime switching model
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+Martingales and arbitrage in multiperiod securities markets
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+Martingales and stochastic integrals in the theory of continuous trading
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+Information and option pricings
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+Modeling and Forecasting CAT and HDD Indices for Weather Derivative Pricing
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@@ Property / DOI @@
+.1016/J.PHYSA.2015.08.003
@@ Property / DOI: 10.1016/J.PHYSA.2015.08.003 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1618828