Pricing exotic options in a regime switching economy: a Fourier transform method (Q1621619): Difference between revisions

@@ Property / DOI @@
-.1007/s11147-017-9139-1
@@ Property / DOI: 10.1007/s11147-017-9139-1 / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11147-017-9139-1
+Normal rank
@@ Property / OpenAlex ID @@
+W2760782088
@@ Property / OpenAlex ID: W2760782088 / rank @@
+Normal rank
@@ Property / cites work @@
+Stationary distributions for fluid flow models with or without brownian noise
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Exit problems in regime-switching models
@@ Property / cites work: Exit problems in regime-switching models / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing exotic options under regime switching
@@ Property / cites work: Pricing exotic options under regime switching / rank @@
+Normal rank
@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+An explicit analytic formula for pricing barrier options with regime switching
+Normal rank
@@ Property / cites work @@
+Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate
+Normal rank
@@ Property / cites work @@
+Computing Greeks for Lévy Models: The Fourier Transform Approach
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+On pricing barrier options with regime switching
@@ Property / cites work: On pricing barrier options with regime switching / rank @@
+Normal rank
@@ Property / cites work @@
+Double barrier option under regime-switching exponential mean-reverting process
+Normal rank
@@ Property / cites work @@
+Efficiently pricing double barrier derivatives in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+When the ``bull'' meets the ``bear'': A first passage time problem for a hidden Markov process
+Normal rank
@@ Property / cites work @@
+An explicit solution to an optimal stopping problem with regime switching
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+First-passage times of regime switching models
@@ Property / cites work: First-passage times of regime switching models / rank @@
+Normal rank
@@ Property / cites work @@
+A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process''
+Normal rank
@@ Property / cites work @@
+Efficiently pricing barrier options in a Markov-switching framework
+Normal rank
@@ Property / cites work @@
+On perpetual American put valuation and first-passage in a regime-switching model with jumps
+Normal rank
@@ Property / cites work @@
+Probabilistic factorization of a quadratic matrix polynomial
+Normal rank
@@ Property / cites work @@
+Fast and accurate pricing of barrier options under Lévy processes
+Normal rank
@@ Property / cites work @@
+A simple approach for pricing barrier options with time-dependent parameters
+Normal rank
@@ Property / cites work @@
+Q3945340
@@ Property / cites work: Q3945340 / rank @@
+Normal rank
@@ Property / cites work @@
+CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
+Normal rank
@@ Property / cites work @@
+Q4486401
@@ Property / cites work: Q4486401 / rank @@
+Normal rank
@@ Property / cites work @@
+Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
+Normal rank
@@ Property / cites work @@
+Computing the invariant law of a fluid model
@@ Property / cites work: Computing the invariant law of a fluid model / rank @@
+Normal rank
@@ Property / DOI @@
+.1007/S11147-017-9139-1
@@ Property / DOI: 10.1007/S11147-017-9139-1 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1621619