Double barrier option under regime-switching exponential mean-reverting process

DOI10.1080/00207160802545874zbMath1163.91393OpenAlexW2118270541MaRDI QIDQ3636733

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Publication date: 29 June 2009

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160802545874

zbMATH Keywords

boundary value problemregime-switchingmean-reverting processdouble barrier option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27) Linear boundary value problems for ordinary differential equations (34B05)

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Cites Work

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• Option pricing and Esscher transform under regime switching
• Pricing double barrier options using Laplace transforms
• Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary
• Disconjugacy
• AMERICAN OPTIONS WITH REGIME SWITCHING
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Pricing Barrier Options with Time–Dependent Coefficients
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• The Confluent Hypergeometric Function
• The First Passage Problem for a Continuous Markov Process

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