Pricing external barrier options in a regime-switching model
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DOI: 10.1016/j.jedc.2015.02.007
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References listed on IDEAS
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Cited by:
- Zhang, Xiaoyuan & Zhang, Tianqi, 2022. "Barrier option pricing under a Markov Regime switching diffusion model," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 273-280.
- Donghyun Kim & Ji-Hun Yoon, 2023. "Analytic Method for Pricing Vulnerable External Barrier Options," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1561-1591, April.
- Zhang, Xiaoyuan & Zhang, Tianqi, 2023. "On pricing double-barrier options with Markov regime switching," Finance Research Letters, Elsevier, vol. 51(C).
- Roy Cerqueti, 2022. "A new concept of reliability system and applications in finance," Annals of Operations Research, Springer, vol. 312(1), pages 45-64, May.
- Gao, Yin & Tian, Miao, 2024. "Pricing problem and sensitivity analysis of knock-in external barrier options based on uncertain stock model," Chaos, Solitons & Fractals, Elsevier, vol. 187(C).
- Gzyl, H. & Milev, M. & Tagliani, A., 2017. "Discontinuous payoff option pricing by Mellin transform: A probabilistic approach," Finance Research Letters, Elsevier, vol. 20(C), pages 281-288.
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More about this item
Keywords
External barrier option; Regime-switching; First passage time; Sylvester matrix equation; Laplace transform; Option price;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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