Barrier option pricing under a Markov Regime switching diffusion model
Xiaoyuan Zhang, Tianqi Zhang
| Year of publication: |
2022
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|---|---|
| Authors: | Zhang, Xiaoyuan ; Zhang, Tianqi |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 86.2022, p. 273-280
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| Subject: | Barrier Option | Diffusion Process | Regime Switching | Upper and Lower Bounds | Optionsgeschäft | Option trading | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Innovationsdiffusion | Innovation diffusion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2022.08.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014249123