Double barrier options in regime-switching hyper-exponential jump-diffusion models
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
|
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 | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility | Experiment |
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