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Title:

Efficiently pricing barrier options in a Markov-switching framework

Document type:
Zeitschriftenaufsatz
Author(s):
Hieber, P.; Scherer, M.
Non-TUM Co-author(s):
nein
Cooperation:
-
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:
3
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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