A path-independent method for barrier option pricing in hidden Markov models

DOI10.1016/j.physa.2015.08.003zbMath1400.91608OpenAlexW1190601207MaRDI QIDQ1618828

Hedieh Rashidi Ranjbar, Abbas Seifi

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2015.08.003

zbMATH Keywords

Esscher transformbarrier option pricingMarkov-switchingMonte-Carlo simulation

Mathematics Subject Classification ID

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

Related Items (3)

Option pricing for stochastic volatility model with infinite activity Lévy jumps ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Pricing formula for a barrier call option based on stochastic delay differential equation

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