An explicit analytic formula for pricing barrier options with regime switching
DOI10.1007/S11579-014-0119-ZzbMATH Open1308.91158OpenAlexW2003790164MaRDI QIDQ2018548FDOQ2018548
Publication date: 24 March 2015
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-014-0119-z
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regime switching modelbarrier optionhomotopy analysis methodMarkov-modulated geometric Brownian motion
Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Other special methods applied to PDEs (35A25) Integro-partial differential equations (35R09) Applications of stochastic analysis (to PDEs, etc.) (60H30) Analytical theory of ordinary differential equations: series, transformations, transforms, operational calculus, etc. (34A25)
Cites Work
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Cited In (12)
- Barrier option pricing in regime switching models with rebates
- Pricing exotic options in a regime switching economy: a Fourier transform method
- Hedging entry and exit decisions: Activating and deactivating barrier options
- OPTION PRICING WITH A LEVY-TYPE STOCHASTIC DYNAMIC MODEL FOR STOCK PRICE PROCESS UNDER SEMI-MARKOVIAN STRUCTURAL PERTURBATIONS
- Double barrier option under regime-switching exponential mean-reverting process
- Asian option as a fixed-point
- On pricing barrier control in a regime-switching regulated market
- On barrier option pricing by Erlangization in a regime-switching model with jumps
- Homotopy analysis method for portfolio optimization problem under the 3/2 model
- Barrier option pricing by branching processes
- Path integral Monte Carlo method for option pricing
- Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
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