Pricing S&P500 barrier put option of American type under Heston-CIR model with regime-switching
Year of publication: |
2019
|
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Authors: | Mehrdoust, Farshid ; Noorani, Idin |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 6.2019, 2, p. 1-17
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Subject: | American barrier options | Heston-CIR model | regime-switching model | EM algorithm | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain |
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