Pricing external barrier options in a regime-switching model
Jerim Kim, Jeongsim Kim, Hyun Joo Yoo, Bara Kim
| Year of publication: |
April 2015
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|---|---|
| Authors: | Kim, Jerim ; Kim, Jeongsim ; Yoo, Hyun Joo ; Kim, Bara |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 53.2015, p. 123-143
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| Subject: | External barrier option | Regime-switching | First passage time | Sylvester matrix equation | Laplace transform | Option price | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2015.02.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011526900