Pricing double barrier options under a volatility regime-switching model with psychological barriers
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DOI: 10.1007/s11147-017-9130-x
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- Guangli Xu & Xingchun Wang, 2021. "On the Transition Density and First Hitting Time Distributions of the Doubly Skewed CIR Process," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 735-752, September.
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More about this item
Keywords
Double barrier option; Psychological barrier; Regime switching; Laplace transform; Delta; Eigenfunction expansion;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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