An explicit analytic formula for pricing barrier options with regime switching (Q2018548)
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scientific article; zbMATH DE number 6419177
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An explicit analytic formula for pricing barrier options with regime switching |
scientific article; zbMATH DE number 6419177 |
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An explicit analytic formula for pricing barrier options with regime switching (English)
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24 March 2015
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barrier option
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Markov-modulated geometric Brownian motion
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regime switching model
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homotopy analysis method
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0.9542886
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0.93458396
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0.91677445
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0.9127686
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0.9110395
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0.9078749
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0.9010583
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