"On barrier option pricing by Erlangization in a regime-switching model ..."

Griselda Deelstra, Guy Latouche, Matthieu Simon (2020)

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DOI: 10.1016/J.CAM.2019.112606

access: closed

type: Journal Article

metadata version: 2020-03-03

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Griselda Deelstra, Guy Latouche, Matthieu Simon:
On barrier option pricing by Erlangization in a regime-switching model with jumps. J. Comput. Appl. Math. 371: 112606 (2020)

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