Pricing American drawdown options under Markov models.

Xiang Zhang Lingfei Li Gongqiu Zhang

Published in: Eur. J. Oper. Res. (2021)

Keyphrases

markov models
option pricing
black scholes model
double exponential
markov model
higher order
maximum entropy
hidden markov models
transition probabilities
sequence classification
low order
hidden state
conditional random fields
stock price
probabilistic model
sequence prediction