Efficiently pricing barrier options in a Markov-switching framework

DOI10.1016/J.CAM.2010.06.021MaRDI QIDQ708288zbMATH OpenOpenAlexFDO

Authors Peter Hieber, Matthias Scherer

Publication date 11 October 2010

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.2010.06.021

zbMATH Keywords

Monte Carlovariance reductionbarrier optionBrownian bridgeMarkov switching

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• scientific article; zbMATH DE number 3119649 (Why is no real title available?)
• scientific article; zbMATH DE number 1034200 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A continuity correction for discrete barrier options
• A simple approach for pricing equity options with Markov switching state variables
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Analysing yield spread and output dynamics in an endogenous Markov switching regression framework
• Empirical assessment of an intertemporal option pricing model with latent variables.
• Information and option pricings
• Moments of Markov switching models
• Monte Carlo methods for security pricing
• Option pricing and Esscher transform under regime switching
• Pricing exotic options under a high-order Markovian regime switching model
• The pricing of options and corporate liabilities
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE

Cited in

(21)

• Iterative weak approximation and hard bounds for switching diffusion
• On barrier option pricing by Erlangization in a regime-switching model with jumps
• An explicit analytic formula for pricing barrier options with regime switching
• First-passage times of regime switching models
• Conditioning on One-Step Survival for Barrier Option Simulations
• Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
• Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
• A path-independent method for barrier option pricing in hidden Markov models
• EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
• Barrier swaption pricing problem in uncertain financial market
• Pricing exotic options in a regime switching economy: a Fourier transform method
• Randomization and the valuation of guaranteed minimum death benefits
• PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES
• Pricing and risk management of interest rate swaps
• An Efficient, and Fast Convergent Algorithm for Barrier Options
• Application of simplest random walk algorithms for pricing barrier options
• Barrier option pricing in regime switching models with rebates
• Cliquet-style return guarantees in a regime switching Lévy model
• Continuously monitored barrier options under Markov processes
• A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process
• Pricing formula for a barrier call option based on stochastic delay differential equation

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