Barrier Option Pricing in Regime Switching Models with Rebates

被引：1

作者：

Zhao, Yue-xu ^{[1
]}

Bao, Jia-yong ^{[2
]}

机构：

[1] Hangzhou Dianzi Univ, Sch Econ, Hangzhou 310018, Peoples R China

[2] Hangzhou Dianzi Univ, Sch Sci, Hangzhou 310018, Peoples R China

来源：

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2024年 / 40卷 / 03期

关键词：

option pricing; Markovian regime switching; Wiener-Hopf factorization; Fourier transform; KNOCK-OUT OPTIONS; TIME-SERIES; AMERICAN; 1ST-PASSAGE;

D O I：

10.1007/s10255-024-1053-3

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper is concerned with the valuation of single and double barrier knock-out call options in a Markovian regime switching model with specific rebates. The integral formulas of the rebates are derived via matrix Wiener-Hopf factorizations and Fourier transform techniques, also, the integral representations of the option prices are constructed. Moreover, the first-passage time density functions in two-state regime model are derived. As applications, several numerical algorithms and numerical examples are presented.

引用

页码：849 / 861

页数：13

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