Pricing external barrier options in a regime-switching model (Q1657586)
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scientific article; zbMATH DE number 6917201
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| English | Pricing external barrier options in a regime-switching model |
scientific article; zbMATH DE number 6917201 |
Statements
Pricing external barrier options in a regime-switching model (English)
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13 August 2018
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external barrier option
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regime-switching
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first passage time
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Sylvester matrix equation
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Laplace transform
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option price
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0.8289781808853149
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0.8254610896110535
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0.8243818879127502
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0.8241733908653259
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0.7990880012512207
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