Pricing barrier options by a regime switching model (Q5300446)
From MaRDI portal
scientific article; zbMATH DE number 6181858
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing barrier options by a regime switching model |
scientific article; zbMATH DE number 6181858 |
Statements
Pricing barrier options by a regime switching model (English)
0 references
27 June 2013
0 references
regime switching
0 references
volatility clustering
0 references
barrier option
0 references
autocovariance
0 references
Brownian Bridge
0 references
importance sampling
0 references
