Pricing exotic options under regime switching

Insurance: Mathematics and Economics

Volumn 40, Issue 2, 2007, Pages 267-282

  Boyle, Phelim ^a   Draviam, Thangaraj ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Asian options; Lookback options; Regime switching

Indexed keywords

EID: 33845805828     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2006.05.001     Document Type: Article

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