An explicit analytic formula for pricing barrier options with regime switching

Author:

Chan Leunglung,Zhu Song-Ping

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Reference27 articles.

1. Baran, N.A., Yin, G., Zhu, C.: Feynman–Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations. Adv.Differ. Equ. 315, 1–13 (2013)

2. Black, F., Scholes, M.: The pricing of options and corporate liabilities. J. Polit. Econ. 81, 637–659 (1973)

3. Boyarchenko, S.I., Levendorskiǐ, S.Z.: Barrier options and touch-and-out options under regular Lévy processes of exponential type. Ann. Appl. Prob. 12(4), 1261–1298 (2002)

4. Buffington, J., Elliott, R.J.: Regime switching and European options. In: Pasik-Duncan, B. (ed.) Stochastic theory and control. proceedings of a workshop, Lawerence, Kansas, pp. 73–81. Springer, Berlin (2002)

5. Buffington, J., Elliott, R.J.: American options with regime switching. Int. J. Theor. Appl. Financ. 5, 497–514 (2002)

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