On pricing double-barrier options with Markov regime switching
Author:
Publisher
Elsevier BV
Subject
Finance
Reference36 articles.
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2. A new approach to volatility modeling: the factorial hidden Markov volatility model;Augustyniak;J. Bus. Econ. Stat.,2019
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4. Regime switching in foreign exchange rates: Evidence from currency option prices;Bollen;J. Econometrics,2004
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