Pricing barrier options by a regime switching model (Q5300446)
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scientific article; zbMATH DE number 6181858
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| English | Pricing barrier options by a regime switching model |
scientific article; zbMATH DE number 6181858 |
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Pricing barrier options by a regime switching model (English)
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27 June 2013
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regime switching
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volatility clustering
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barrier option
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autocovariance
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Brownian Bridge
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importance sampling
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0.8524468541145325
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0.815924346446991
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0.8085772395133972
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0.8061400651931763
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