A unified approach to Bermudan and barrier options under stochastic volatility models with jumps

DOI10.1016/j.jedc.2017.05.001zbMath1401.91533OpenAlexW2614144892MaRDI QIDQ1655511

Y. Aharonov

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2017.05.001

zbMATH Keywords

stochastic volatilityregime switchingAmerican optionsjump diffusionbarrier optionsframe projection

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• PROJ_Option_Pricing_Matlab

Cites Work

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