Pricing double barrier options under a volatility regime-switching model with psychological barriers
Shiyu Song, Yongjin Wang
| Year of publication: |
July 2017
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|---|---|
| Authors: | Song, Shiyu ; Wang, Yongjin |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 20.2017, 3, p. 255-280
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| Subject: | Double barrier option | Psychological barrier | Regime switching | Laplace transform | Delta Eigenfunction expansion | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-017-9130-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011936003