Double barrier option under regime-switching exponential mean-reverting process

DOI10.1080/00207160802545874zbMath1163.91393MaRDI QIDQ3636733

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Publication date: 29 June 2009

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160802545874

zbMATH Keywords

boundary value problem; regime-switching; mean-reverting process; double barrier option

Mathematics Subject Classification ID

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

60J27: Continuous-time Markov processes on discrete state spaces

34B05: Linear boundary value problems for ordinary differential equations

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Cites Work

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