On pricing barrier options with regime switching

DOI10.1016/j.cam.2013.07.034zbMath1350.91016OpenAlexW2063796234MaRDI QIDQ2348970

Tak Kuen Siu, Leunglung Chan, Robert J. Elliott

Publication date: 16 June 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.07.034

zbMATH Keywords

free boundary problemintegral representationfundamental matrix solutionregime switching modelbarrier option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (17)

Pricing exotic options in a regime switching economy: a Fourier transform method ⋮ PRICING FORMULA FOR EXCHANGE OPTION BASED ON STOCHASTIC DELAY DIFFERENTIAL EQUATION WITH JUMPS ⋮ COS method for option pricing under a regime-switching model with time-changed Lévy processes ⋮ A self-exciting threshold jump-diffusion model for option valuation ⋮ Pricing external barrier options in a regime-switching model ⋮ Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps ⋮ Efficient hedging currency options in fractional Brownian motion model with jumps ⋮ Stable reconstruction of the volatility in a regime-switching local-volatility model ⋮ Efficient lattice method for valuing of options with barrier in a regime switching model ⋮ Pricing formula for a barrier call option based on stochastic delay differential equation ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ An explicit analytic formula for pricing barrier options with regime switching ⋮ Pricing discretely-monitored double barrier options with small probabilities of execution ⋮ Time consistent policy of multi-period mean-variance ⋮ 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 ⋮ Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm

This page was built for publication: On pricing barrier options with regime switching