Efficiently pricing barrier options in a Markov-switching framework (Q708288)
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scientific article; zbMATH DE number 5798190
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| English | Efficiently pricing barrier options in a Markov-switching framework |
scientific article; zbMATH DE number 5798190 |
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Efficiently pricing barrier options in a Markov-switching framework (English)
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11 October 2010
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Markov switching
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barrier option
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Monte Carlo
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Brownian bridge
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variance reduction
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0.853672981262207
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0.8246784210205078
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0.8233998417854309
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0.8210008144378662
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