An explicit analytic formula for pricing barrier options with regime switching
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Publication:2018548
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)
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Cites work
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- scientific article; zbMATH DE number 2015362 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 3381785 (Why is no real title available?)
- scientific article; zbMATH DE number 961523 (Why is no real title available?)
- A simple approach for pricing barrier options with time-dependent parameters
- AMERICAN OPTIONS WITH REGIME SWITCHING
- An analytic formula for the price of an American-style Asian option of floating strike type
- An analytic pricing formula for lookback options under stochastic volatility
- An exact and explicit solution for the valuation of American put options
- Analytic solutions of the temperature distribution in Blasius viscous flow problems
- Barrier options and touch-and-out options under regular Lévy processes of exponential type
- Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations
- Homotopy analysis method for option pricing under stochastic volatility
- Information and option pricings
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- Option pricing and Esscher transform under regime switching
- Option valuation under a regime-switching constant elasticity of variance process
- Pricing Barrier Options with Time–Dependent Coefficients
- The pricing of options and corporate liabilities
Cited in
(24)- On pricing barrier options with regime switching
- Pricing exotic options in a regime switching economy: a Fourier transform method
- Barrier option pricing in regime switching models with rebates
- Hedging entry and exit decisions: Activating and deactivating barrier options
- Valuation and optimal strategies for American options under a Markovian regime-switching model
- A path-independent method for barrier option pricing in hidden Markov models
- Double barrier option under regime-switching exponential mean-reverting process
- Asian option as a fixed-point
- An exact and explicit formula for pricing lookback options with regime switching
- A new exact solution for pricing European options in a two-state regime-switching economy
- A moment approach to bounding exotic options under regime switching
- On pricing barrier control in a regime-switching regulated market
- On barrier option pricing by Erlangization in a regime-switching model with jumps
- Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images
- The pricing and hedging of an attainable claim in a hybrid Black-Scholes model under regime switching
- On a Markov chain approximation method for option pricing with regime switching
- Pricing double barrier options under a volatility regime-switching model with psychological barriers
- Homotopy analysis method for portfolio optimization problem under the 3/2 model
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- Barrier option pricing by branching processes
- Option pricing using a regime switching stochastic discount factor
- Option pricing with a Lévy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations
- 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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