Pricing exotic options in a regime switching economy: a Fourier transform method

DOI10.1007/s11147-017-9139-1zbMath1417.91553OpenAlexW2760782088MaRDI QIDQ1621619

Peter Hieber

Publication date: 9 November 2018

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-017-9139-1

zbMATH Keywords

option pricingregime switchingWiener-Hopf factorizationMarkov switching

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items (7)

COS method for option pricing under a regime-switching model with time-changed Lévy processes ⋮ A generalized Esscher transform for option valuation with regime switching risk ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ Proactive hedging European call option pricing with linear position strategy ⋮ On barrier option pricing by Erlangization in a regime-switching model with jumps ⋮ Computation of powered option prices under a general model for underlying asset dynamics ⋮ A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options

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