A path-independent method for barrier option pricing in hidden Markov models
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Publication:1618828
DOI10.1016/j.physa.2015.08.003zbMath1400.91608OpenAlexW1190601207MaRDI QIDQ1618828
Hedieh Rashidi Ranjbar, Abbas Seifi
Publication date: 13 November 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2015.08.003
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Option pricing for stochastic volatility model with infinite activity Lévy jumps ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Pricing formula for a barrier call option based on stochastic delay differential equation
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