Efficient lattice method for valuing of options with barrier in a regime switching model
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Publication:1677719
DOI10.1155/2016/2474305zbMath1410.91485OpenAlexW2528004091WikidataQ59123411 ScholiaQ59123411MaRDI QIDQ1677719
Publication date: 13 November 2017
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2016/2474305
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
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Cites Work
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