On pricing barrier options with regime switching.
Robert J. ElliottTak Kuen SiuLeunglung ChanPublished in: J. Comput. Appl. Math. (2014)
Keyphrases
- option pricing
- black scholes model
- double exponential
- black scholes
- decision analysis
- dynamic pricing
- convertible bonds
- real time
- data mining
- multi agent
- spatio temporal
- special case
- dynamic programming
- stock price
- real option
- knowledge base
- distributional assumptions
- optimal pricing
- decision making
- artificial intelligence