Double barrier option under regime-switching exponential mean-reverting process

DOI10.1080/00207160802545874zbMath1163.91393OpenAlexW2118270541MaRDI QIDQ3636733

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Publication date: 29 June 2009

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160802545874

zbMATH Keywords

boundary value problemregime-switchingmean-reverting processdouble barrier option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27) Linear boundary value problems for ordinary differential equations (34B05)

Related Items (10)

Pricing exotic options in a regime switching economy: a Fourier transform method ⋮ Laplace transform methods for a free boundary problem of time-fractional partial differential equation system ⋮ A new tree method for pricing financial derivatives in a regime-switching mean-reverting model ⋮ Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market ⋮ A lattice method for option pricing with two underlying assets in the regime-switching model ⋮ A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process ⋮ Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes ⋮ Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates ⋮ REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING ⋮ Convergence rates of trinomial tree methods for option pricing under regime-switching models

Cites Work

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• Option pricing and Esscher transform under regime switching
• Pricing double barrier options using Laplace transforms
• Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary
• Disconjugacy
• AMERICAN OPTIONS WITH REGIME SWITCHING
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Pricing Barrier Options with Time–Dependent Coefficients
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• The Confluent Hypergeometric Function
• The First Passage Problem for a Continuous Markov Process

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