Pricing exotic options under a high-order Markovian regime switching model

DOI10.1155/2007/18014zbMath1170.91372MaRDI QIDQ933877

Tak Kuen Siu, Wai-Ki Ching, Li-Min Li

Publication date: 28 July 2008

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

Full work available at URL: https://eudml.org/doc/130546

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B06: Decision theory

91B84: Economic time series analysis

60J05: Discrete-time Markov processes on general state spaces

90B50: Management decision making, including multiple objectives

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Efficiently pricing barrier options in a Markov-switching framework, Numerical methods for backward Markov chain driven Black-Scholes option pricing

Cites Work

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• Unnamed Item