Efficiently pricing barrier options in a Markov-switching framework
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Publication:708288
DOI10.1016/J.CAM.2010.06.021zbMATH Open1231.91473OpenAlexW1979101041MaRDI QIDQ708288FDOQ708288
Matthias Scherer, Peter Hieber
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
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
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Cited In (16)
- First-passage times of regime switching models
- Pricing and risk management of interest rate swaps
- An Efficient, and Fast Convergent Algorithm for Barrier Options
- Cliquet-style return guarantees in a regime switching Lévy model
- Barrier swaption pricing problem in uncertain financial market
- Barrier option pricing in regime switching models with rebates
- Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
- Pricing exotic options in a regime switching economy: a Fourier transform method
- Randomization and the valuation of guaranteed minimum death benefits
- Iterative weak approximation and hard bounds for switching diffusion
- A path-independent method for barrier option pricing in hidden Markov models
- PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES
- On barrier option pricing by Erlangization in a regime-switching model with jumps
- Pricing formula for a barrier call option based on stochastic delay differential equation
- An explicit analytic formula for pricing barrier options with regime switching
- A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process
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