Pricing S&P500 barrier put option of American type under Heston-CIR model with regime-switching
Farshid Mehrdoust and Idin Noorani
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786319500142 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012167493