Pricing double barrier options under a volatility regime-switching model with psychological barriers
type: Item
instance of: scholarly article
title: Pricing double barrier options under a volatility regime-switching model with psychological barriers
zbMATH Open document ID: 1418.91540
author: Shiyu Song
author: Yongjin Wang
published in: Review of Derivatives Research
publication date: 2018-11-30T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 44A10
zbMATH DE Number: 6987330
zbMATH Keywords: double barrier option
zbMATH Keywords: psychological barrier
zbMATH Keywords: regime switching
zbMATH Keywords: Laplace transform
zbMATH Keywords: delta
zbMATH Keywords: eigenfunction expansion
MaRDI profile type: Publication
full work available at URL: s11147-017-9130-x
OpenAlex ID: W2609285991
cites work: An explicit finite difference approach to the pricing of barrier options
cites work: A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
cites work: Pricing double-barrier options under a flexible jump diffusion model
cites work: Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
cites work: SELF EXCITING THRESHOLD INTEREST RATES MODELS
cites work: PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
cites work: DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
cites work: PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
cites work: Q3923307
cites work: THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
cites work: Q5423895
cites work: EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
cites work: Pricing double barrier options using Laplace transforms
cites work: Q4435813
cites work: Q4226355
cites work: ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
cites work: Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
DOI: 10.1007/S11147-017-9130-X
description: scientific article; zbMATH DE number 6987330