Pricing exotic options in a regime switching economy: a Fourier transform method
From MaRDI portal
Publication:1621619
DOI10.1007/s11147-017-9139-1zbMath1417.91553OpenAlexW2760782088MaRDI QIDQ1621619
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
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
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
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process
- Efficiently pricing double barrier derivatives in stochastic volatility models
- Option pricing and Esscher transform under regime switching
- Efficiently pricing barrier options in a Markov-switching framework
- Fast and accurate pricing of barrier options under Lévy processes
- Pricing exotic options under regime switching
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
- When the ``bull meets the ``bear: A first passage time problem for a hidden Markov process
- An explicit analytic formula for pricing barrier options with regime switching
- First-passage times of regime switching models
- On pricing barrier options with regime switching
- Exit problems in regime-switching models
- An explicit solution to an optimal stopping problem with regime switching
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Probabilistic factorization of a quadratic matrix polynomial
- Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate
- Double barrier option under regime-switching exponential mean-reverting process
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Computing the invariant law of a fluid model
- Stationary distributions for fluid flow models with or without brownian noise
- Computing Greeks for Lévy Models: The Fourier Transform Approach
- A simple approach for pricing barrier options with time-dependent parameters
- CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
