Efficiently pricing barrier options in a Markov-switching framework (Q708288): Difference between revisions

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Property / DOI: 10.1016/j.cam.2010.06.021 / rank
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Latest revision as of 01:25, 10 December 2024

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Efficiently pricing barrier options in a Markov-switching framework
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    Efficiently pricing barrier options in a Markov-switching framework (English)
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    11 October 2010
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    Markov switching
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    barrier option
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    Monte Carlo
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    Brownian bridge
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    variance reduction
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