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Document type:
Zeitschriftenaufsatz 
Author(s):
Hieber, P.; Scherer, M. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Efficiently pricing barrier options in a Markov-switching framework 
Abstract:
An efficient Monte-Carlo simulation for the pricing of barrier options in a Markov-switching model is presented. Compared to a brute-force approach, relying on the simulation of discretized trajectories, the presented algorithm simulates the underlying stock-price process only at state changes and at maturity. Given these pieces of information, option prices are evaluated using the probability of Brownian bridges not to fall below some threshold level. It is illustrated how two methods of varian...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Journal of Computational and Applied Mathematics 
Year:
2010 
Journal volume:
235 
Journal issue:
Pages contribution:
679-685 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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