Efficiently pricing barrier options in a Markov-switching framework
type: Item
instance of: scholarly article
title: Efficiently pricing barrier options in a Markov-switching framework
zbMATH Open document ID: 1231.91473
author: Peter Hieber
author: Matthias Scherer
published in: Journal of Computational and Applied Mathematics
publication date: 2010-10-11T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 5798190
zbMATH Keywords: Markov switching
zbMATH Keywords: barrier option
zbMATH Keywords: Monte Carlo
zbMATH Keywords: Brownian bridge
zbMATH Keywords: variance reduction
MaRDI profile type: Publication
full work available at URL: j.cam.2010.06.021
OpenAlex ID: W1979101041
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DOI: 10.1016/J.CAM.2010.06.021
description: scientific article; zbMATH DE number 5798190