Efficient lattice method for valuing of options with barrier in a regime switching model

DOI10.1155/2016/2474305zbMath1410.91485OpenAlexW2528004091WikidataQ59123411 ScholiaQ59123411MaRDI QIDQ1677719

Youngchul Han, Geonwoo Kim

Publication date: 13 November 2017

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/2474305

zbMATH Keywords

regime switching modellattice methodvaluation of options with barrier

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Related Items (3)

COS method for option pricing under a regime-switching model with time-changed Lévy processes ⋮ Barrier option pricing in regime switching models with rebates ⋮ Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model

Cites Work

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