An explicit analytic formula for pricing barrier options with regime switching (Q2018548): Difference between revisions

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-Song-Ping Zhu
@@ Property / author: Song-Ping Zhu / rank @@
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+Song-Ping Zhu
@@ Property / author: Song-Ping Zhu / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11579-014-0119-z
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+W2003790164
@@ Property / OpenAlex ID: W2003790164 / rank @@
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@@ Property / cites work @@
+Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations
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+The Pricing of Options and Corporate Liabilities
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+Barrier options and touch-and-out options under regular Lévy processes of exponential type
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@@ Property / cites work @@
+Q4438197
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+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
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+Q4323296
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+Option pricing and Esscher transform under regime switching
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+Option valuation under a regime-switching constant elasticity of variance process
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+On pricing barrier options with regime switching
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+An analytic formula for the price of an American-style Asian option of floating strike type
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