Pricing barrier options by a regime switching model
نویسندگان
چکیده
منابع مشابه
Efficient pricing options under regime switching
In the paper, we propose two new efficient methods for pricing barrier option in wide classes of Lévy processes with/without regime switching. Both methods are based on the numerical Laplace transform inversion formulae and the Fast Wiener-Hopf factorization method developed in Kudryavtsev and Levendorskǐi (Finance Stoch. 13: 531–562, 2009). The first method uses the Gaver-Stehfest algorithm, t...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2011
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697680903567160