An explicit analytic formula for pricing barrier options with regime switching
Leunglung Chan; Song-Ping Zhu
| Year of publication: |
2015
|
|---|---|
| Authors: | Chan, Leunglung ; Zhu, Song-Ping |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 9.2015, 1, p. 29-37
|
| Subject: | Barrier option | Markov-modulated geometric Brownian motion | Regime switching model | Homotopy analysis method | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010500699