Efficiently pricing barrier options in a Markov-switching framework (Q708288)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Efficiently pricing barrier options in a Markov-switching framework |
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
