Pricing barrier options by a regime switching model

DOI10.1080/14697680903567160zbMath1266.91102OpenAlexW2142631455MaRDI QIDQ5300446

Pål Nicolai Henriksen

Publication date: 27 June 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10367

zbMATH Keywords

importance samplingregime switchingbarrier optionvolatility clusteringautocovarianceBrownian Bridge

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

A path-independent method for barrier option pricing in hidden Markov models ⋮ Pricing external barrier options in a regime-switching model ⋮ A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process ⋮ First-passage times of regime switching models ⋮ Modeling asset price under two-factor Heston model with jumps ⋮ Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps ⋮ Computation of powered option prices under a general model for underlying asset dynamics

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option theory with stochastic analysis. An introduction to mathematical finance.
• Moments of Markov switching models
• Lévy processes driven by stochastic volatility
• A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Stochastic differential equations. An introduction with applications.