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

DOI10.1080/00207160802545874MaRDI QIDQ3636733zbMATH OpenOpenAlexFDO

Authors

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

regime-switchingboundary value problemmean-reverting processdouble barrier option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Linear boundary value problems for ordinary differential equations (34B05) Continuous-time Markov processes on discrete state spaces (60J27)

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Cites work

• scientific article; zbMATH DE number 1113626 (Why is no real title available?)
• scientific article; zbMATH DE number 1820665 (Why is no real title available?)
• scientific article; zbMATH DE number 5172394 (Why is no real title available?)
• scientific article; zbMATH DE number 3109695 (Why is no real title available?)
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary
• Disconjugacy
• Option pricing and Esscher transform under regime switching
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Barrier Options with Time–Dependent Coefficients
• Pricing Options With Curved Boundaries¹
• Pricing double barrier options using Laplace transforms
• The Confluent Hypergeometric Function
• The First Passage Problem for a Continuous Markov Process

Cited in

(13)

• Double knock-out Asian barrier options which widen or contract as they approach maturity
• Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
• Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
• Pricing double barrier options under a volatility regime-switching model with psychological barriers
• A lattice method for option pricing with two underlying assets in the regime-switching model
• Pricing exotic options in a regime switching economy: a Fourier transform method
• Convergence rates of trinomial tree methods for option pricing under regime-switching models
• Barrier option pricing in regime switching models with rebates
• Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
• Regime-switching recombining tree for option pricing
• Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
• A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process
• A new tree method for pricing financial derivatives in a regime-switching mean-reverting model

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