Saddlepoint approximations to option price in a regime-switching model (Q300691)

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English	Saddlepoint approximations to option price in a regime-switching model	scientific article

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scholarly article

Saddlepoint approximations to option price in a regime-switching model (English)

Annals of Finance

publication date

28 June 2016

zbMATH Keywords

call option

Markov-modulated geometric Brownian motion

regime switching model

saddlepoint method

MaRDI profile type

MaRDI publication profile

full work available at URL

https://doi.org/10.1007/s10436-015-0272-2

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A new exact solution for pricing European options in a two-state regime-switching economy

Identifiers

zbMATH Open document ID

Mathematics Subject Classification ID

zbMATH DE Number

10.1007/S10436-015-0272-2

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Mathematics(1 entry)

mardi Publication:300691

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