A path-independent method for barrier option pricing in hidden Markov models
type: Item
instance of: scholarly article
title: A path-independent method for barrier option pricing in hidden Markov models
zbMATH Open document ID: 1400.91608
author: Hedieh Rashidi Ranjbar
author: Abbas Seifi
published in: Physica A
publication date: 2018-11-13T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 6977477
zbMATH Keywords: barrier option pricing
zbMATH Keywords: Markov-switching
zbMATH Keywords: Esscher transform
zbMATH Keywords: Monte-Carlo simulation
MaRDI profile type: Publication
full work available at URL: j.physa.2015.08.003
OpenAlex ID: W1190601207
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DOI: 10.1016/J.PHYSA.2015.08.003
description: scientific article; zbMATH DE number 6977477