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Pricing external barrier options in a regime-switching model

Kim, Jerim; Kim, Jeongsim; Joo Yoo, Hyun; Kim, Bara - In: Journal of Economic Dynamics and Control 53 (2015) C, pp. 123-143

External barrier options are two-asset options where the payoff is defined on one asset and the barrier is defined on another asset. In this paper, we derive the Laplace transforms of the prices and deltas for the external single and double barrier options where the underlying asset prices...

Persistent link: https://www.econbiz.de/10011209203

A general framework for time-changed Markov processes and applications

Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 273 (2019) 2, pp. 785-800

Persistent link: https://www.econbiz.de/10011987591

Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes

Cui, Zhenyu; Lee, Chihoon; Liu, Yanchu - In: European journal of operational research : EJOR 266 (2018) 3, pp. 1134-1139

Persistent link: https://www.econbiz.de/10011812242

Polynomial upper and lower bounds for financial derivative price functions under regime-switching

Bhim, Louis; Kawai, Reiichiro - In: The journal of computational finance 22 (2018) 2, pp. 35-71

Persistent link: https://www.econbiz.de/10011976660

Option pricing in regime-switching frameworks with the Extended Girsanov Principle

Godin, Frédéric; Trottier, Denis-Alexandre - In: Insurance / Mathematics & economics 99 (2021), pp. 116-129

Persistent link: https://www.econbiz.de/10012649213

A stochastic control approach to bid-ask price modelling

Dela Vega, Engel John C.; Elliott, Robert J. - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-30

Persistent link: https://www.econbiz.de/10013371064

A general approach for lookback option pricing under Markov models

Zhang, Gongqiu; Li, Lingfei - In: Quantitative finance 23 (2023) 9, pp. 1305-1324

Persistent link: https://www.econbiz.de/10014339927

Exotic options with Lévy processes : the Markovian approach

Ortobelli Lozza, Sergio; Staino, Alessandro - In: Investment management and financial innovations 8 (2011) 1, pp. 140-156

Persistent link: https://www.econbiz.de/10009153809

Double barrier options in regime-switching hyper-exponential jump-diffusion models

Boyarchenko, Mitya; Bojarčenko, Svetlana I. - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1005-1043

Persistent link: https://www.econbiz.de/10009407678

Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options

Ramponi, Alessandro - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-26

Persistent link: https://www.econbiz.de/10009672605