On pricing double-barrier options with Markov regime switching
Xiaoyuan Zhang, Tianqi Zhang
| Year of publication: |
2023
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|---|---|
| Authors: | Zhang, Xiaoyuan ; Zhang, Tianqi |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 51.2023, p. 1-8
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| Subject: | Diffusion process | Double-barrier option | Markov regime switching | Upper and lower bounds | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.103413 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014288926