Efficiently pricing barrier options in a Markov-switching framework

DOI10.1016/j.cam.2010.06.021zbMath1231.91473OpenAlexW1979101041MaRDI QIDQ708288

Matthias Scherer, Peter Hieber

Publication date: 11 October 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.06.021

zbMATH Keywords

Monte CarloBrownian bridgevariance reductionMarkov switchingbarrier option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

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