PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES (Q4608943)
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scientific article; zbMATH DE number 6854631
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES |
scientific article; zbMATH DE number 6854631 |
Statements
PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES (English)
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29 March 2018
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option pricing
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regime-switching model
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finite-difference method
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Monte Carlo simulation
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variance-reduction technique
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simulating total occupation time
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