Double barrier options in regime-switching hyper-exponential jump-diffusion models
Mitya Boyarchenko; Svetlana Boyarchenko
| Year of publication: |
2011
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|---|---|
| Authors: | Boyarchenko, Mitya ; Bojarčenko, Svetlana I. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 7, p. 1005-1043
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| Subject: | Option pricing | double barrier options | double-no-touch options | foreign exchange | double-exponential jump-diffusion | Kou's model | hyper-exponential jump-diffusion | Lévy process | regime switching | stochastic volatility | stochastic interest rate | Carr's randomization | Canadization | analytic method of lines | Wiener-Hopf factorization | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Volatilität | Volatility | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009407678