Pricing external barrier options in a regime-switching model

DOI10.1016/j.jedc.2015.02.007zbMath1401.91532OpenAlexW2007981093MaRDI QIDQ1657586

Hyun Joo Yoo, Jerim Kim, Bara Kim, Jeongsim Kim

Publication date: 13 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.2015.02.007

zbMATH Keywords

Laplace transformfirst passage timeoption priceSylvester matrix equationregime-switchingexternal barrier option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

A new concept of reliability system and applications in finance ⋮ Unnamed Item ⋮ Pricing external barrier options under a stochastic volatility model ⋮ Computation of powered option prices under a general model for underlying asset dynamics

Cites Work

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