An explicit analytic formula for pricing barrier options with regime switching

DOI10.1007/s11579-014-0119-zzbMath1308.91158OpenAlexW2003790164MaRDI QIDQ2018548

Leunglung Chan, Song-Ping Zhu

Publication date: 24 March 2015

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-014-0119-z

zbMATH Keywords

homotopy analysis methodregime switching modelbarrier optionMarkov-modulated geometric Brownian motion

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Analytical theory of ordinary differential equations: series, transformations, transforms, operational calculus, etc. (34A25) Derivative securities (option pricing, hedging, etc.) (91G20) Other special methods applied to PDEs (35A25) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)

Related Items

Pricing exotic options in a regime switching economy: a Fourier transform method ⋮ OPTION PRICING WITH A LEVY-TYPE STOCHASTIC DYNAMIC MODEL FOR STOCK PRICE PROCESS UNDER SEMI-MARKOVIAN STRUCTURAL PERTURBATIONS ⋮ Homotopy analysis method for portfolio optimization problem under the 3/2 model ⋮ Asian option as a fixed-point ⋮ On barrier option pricing by Erlangization in a regime-switching model with jumps ⋮ Path integral Monte Carlo method for option pricing

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Homotopy analysis method for option pricing under stochastic volatility
• An analytic formula for the price of an American-style Asian option of floating strike type
• Option pricing and Esscher transform under regime switching
• Numerically solving nonlinear problems by the homotopy analysis method
• Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations
• An analytic pricing formula for lookback options under stochastic volatility
• Barrier options and touch-and-out options under regular Lévy processes of exponential type
• On pricing barrier options with regime switching
• Option valuation under a regime-switching constant elasticity of variance process
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Option Pricing With Markov-Modulated Dynamics
• Analytic solutions of the temperature distribution in Blasius viscous flow problems
• Pricing Barrier Options with Time–Dependent Coefficients
• Information and option pricings
• A simple approach for pricing barrier options with time-dependent parameters
• An exact and explicit solution for the valuation of American put options