A unified approach to Bermudan and barrier options under stochastic volatility models with jumps

DOI10.1016/j.jedc.2017.05.001zbMath1401.91533MaRDI QIDQ1655511

Y. Aharonov

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2017.05.001

zbMATH Keywords

stochastic volatility; regime switching; American options; jump diffusion; barrier options; frame projection

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

93E20: Optimal stochastic control

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

Uses Software

• PROJ_Option_Pricing_Matlab