Double barrier option under regime-switching exponential mean-reverting process
DOI10.1080/00207160802545874zbMATH Open1163.91393OpenAlexW2118270541MaRDI QIDQ3636733FDOQ3636733
Author name not available (Why is that?)
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
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Cites Work
- Disconjugacy
- Pricing Barrier Options with Time–Dependent Coefficients
- Title not available (Why is that?)
- AMERICAN OPTIONS WITH REGIME SWITCHING
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
- The Confluent Hypergeometric Function
- Option pricing and Esscher transform under regime switching
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- The First Passage Problem for a Continuous Markov Process
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
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- Pricing Options With Curved Boundaries1
- Pricing double barrier options using Laplace transforms
- Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary
Cited In (12)
- Barrier option pricing in regime switching models with rebates
- Pricing exotic options in a regime switching economy: a Fourier transform method
- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
- Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
- Convergence rates of trinomial tree methods for option pricing under regime-switching models
- A lattice method for option pricing with two underlying assets in the regime-switching model
- Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
- REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
- A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- Double knock-out Asian barrier options which widen or contract as they approach maturity
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