The Evaluation Of Barrier Option Prices Under Stochastic Volatility
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References listed on IDEAS
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- Kim, Jerim & Kim, Jeongsim & Joo Yoo, Hyun & Kim, Bara, 2015. "Pricing external barrier options in a regime-switching model," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 123-143.
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More about this item
Keywordsbarrier option; stochastic volatility; continuously monitored; discretely monitored; free boundary problem; method of lines; Monte Carlo simulation;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-27 (All new papers)
- NEP-BEC-2010-02-27 (Business Economics)
- NEP-ORE-2010-02-27 (Operations Research)
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