Pricing double barrier options under a volatility regime-switching model with psychological barriers (Q1627631): Difference between revisions

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+Yong Jin Wang
@@ Property / author: Yong Jin Wang / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11147-017-9130-x
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+W2609285991
@@ Property / OpenAlex ID: W2609285991 / rank @@
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@@ Property / cites work @@
+An explicit finite difference approach to the pricing of barrier options
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@@ Property / cites work @@
+A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
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+Pricing double-barrier options under a flexible jump diffusion model
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+Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
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+SELF EXCITING THRESHOLD INTEREST RATES MODELS
@@ Property / cites work: SELF EXCITING THRESHOLD INTEREST RATES MODELS / rank @@
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@@ Property / cites work @@
+PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
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+DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
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+PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
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+Q3923307
@@ Property / cites work: Q3923307 / rank @@
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+THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
@@ Property / cites work: THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE / rank @@
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@@ Property / cites work @@
+Q5423895
@@ Property / cites work: Q5423895 / rank @@
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@@ Property / cites work @@
+EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
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@@ Property / cites work @@
+Pricing double barrier options using Laplace transforms
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@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
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@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
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+ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
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@@ Property / cites work @@
+Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
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