A path-independent method for barrier option pricing in hidden Markov models-Reference-Cited by-同舟云学术

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A path-independent method for barrier option pricing in hidden Markov models

Published:2015-12 Issue: Volume:440 Page:1-8
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Rashidi Ranjbar Hedieh,Seifi Abbas

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference33 articles.

1. D. Luenberger, R. Luenberger, Pricing and hedging barrier options. Investment practice, Stanford University, EES-OR, Spring 1999.

2. Theory of rational option pricing;Merton;Bell J. Econ. Manage. Sci.,1973

3. Perturbation expansion for option pricing with stochastic volatility;Jizba;J. Phys. A,2009

4. Volatility distribution in the S&P500 stock index;Liu;J. Phys. A,1997

5. Statistical properties of the volatility of price fluctuations

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2. Option pricing under regime-switching models: Novel approaches removing path-dependence;Insurance: Mathematics and Economics;2019-07

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