Efficiently pricing barrier options in a Markov-switching framework (Q708288): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 09:58, 30 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficiently pricing barrier options in a Markov-switching framework |
scientific article |
Statements
Efficiently pricing barrier options in a Markov-switching framework (English)
0 references
11 October 2010
0 references
Markov switching
0 references
barrier option
0 references
Monte Carlo
0 references
Brownian bridge
0 references
variance reduction
0 references
