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Barrier option pricing in regime switching models with rebates - MaRDI portal

Barrier option pricing in regime switching models with rebates

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Publication:6565539

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DOI10.1007/s10255-024-1053-3zbMath1545.91313MaRDI QIDQ6565539

Yuexu Zhao, Jiayong Bao

Publication date: 2 July 2024

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

zbMATH Keywords

Fourier transform option pricing Wiener-Hopf factorization Markovian regime switching

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

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