Pricing double barrier options under a volatility regime-switching model with psychological barriers

DOI10.1007/s11147-017-9130-xzbMath1418.91540OpenAlexW2609285991MaRDI QIDQ1627631

Shiyu Song, Yong Jin Wang

Publication date: 30 November 2018

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-017-9130-x

zbMATH Keywords

Laplace transformregime switchingeigenfunction expansiondeltadouble barrier optionpsychological barrier

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

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