DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS

DOI10.1142/S0219024911006620zbMath1233.91257OpenAlexW3123318836MaRDI QIDQ3107929

Svetlana Boyarchenko, Mitya Boyarchenko

Publication date: 28 December 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006620

zbMATH Keywords

stochastic volatilityoption pricingWiener-Hopf factorizationLévy processforeign exchangeregime swtichingdouble exponential jump-diffusionKou's modeldouble barrier optionsCarr's randomizationdouble-no-touch optionshyper-exponential jump-diffusionstochastic volatility interest rate

Mathematics Subject Classification ID

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

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