A path-independent method for barrier option pricing in hidden Markov models (Q1618828)
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scientific article; zbMATH DE number 6977477
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A path-independent method for barrier option pricing in hidden Markov models |
scientific article; zbMATH DE number 6977477 |
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A path-independent method for barrier option pricing in hidden Markov models (English)
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13 November 2018
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barrier option pricing
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Markov-switching
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Esscher transform
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Monte-Carlo simulation
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