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Titel:

Efficiently pricing barrier options in a Markov-switching framework

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Hieber, P.; Scherer, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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
Zeitschriftentitel:
Journal of Computational and Applied Mathematics
Jahr:
2010
Band / Volume:
235
Heft / Issue:
3
Seitenangaben Beitrag:
679-685
Reviewed:
ja
Sprache:
en
Status:
Verlagsversion / published
TUM Einrichtung:
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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