Pricing exotic options under a high-order Markovian regime switching model

DOI10.1155/2007/18014zbMath1170.91372OpenAlexW2030015913MaRDI QIDQ933877

Wai-Ki Ching, Li-Min Li, Tak Kuen Siu

Publication date: 28 July 2008

Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/130546

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Decision theory (91B06) Economic time series analysis (91B84) Discrete-time Markov processes on general state spaces (60J05) Management decision making, including multiple objectives (90B50) Derivative securities (option pricing, hedging, etc.) (91G20)

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