Pricing double-barrier option with processes depending on various states of the economy

DOI10.1080/03610926.2021.1891439OpenAlexW3135272087MaRDI QIDQ5046814

Bingqing Li, Tianqi Zhang

Publication date: 9 November 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1891439

zbMATH Keywords

regime switchingclosed-form approximationdouble-barrier option

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Information and option pricings
• A simple approach for pricing barrier options with time-dependent parameters
• A simple approach for pricing equity options with Markov switching state variables
• OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING

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