Narrow search
Showing 1 - 6 of 6
Cover Image
A homotopy analysis method for the option pricing PDE in post-crash markets
El-Khatib, Youssef - In: Mathematical economics letters 2 (2014) 3/4, pp. 45-50
Persistent link: https://www.econbiz.de/10010496354
Cover Image
An explicit analytic formula for pricing barrier options with regime switching
Chan, Leunglung; Zhu, Song-Ping - In: Mathematics and financial economics 9 (2015) 1, pp. 29-37
Persistent link: https://www.econbiz.de/10010500699
Cover Image
An analytic formula for pricing American-style convertible bonds in a regime switching model
Chan, Leunglung; Zhu, Song-Ping - In: IMA journal of management mathematics 26 (2015) 4, pp. 402-428
Persistent link: https://www.econbiz.de/10011515674
Cover Image
Analytical pricing of American options
Cheng, Jun; Zhang, Jin E. - In: Review of derivatives research 15 (2012) 2, pp. 157-192
Persistent link: https://www.econbiz.de/10009629059
Cover Image
Application of homotopy analysis method to option pricing under Lévy processes
Sakuma, Takayuki; Yamada, Yuji - In: Asia-Pacific financial markets 21 (2014) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10010358467
Cover Image
An analytic approach for pricing American options with regime switching
Chan, Leunglung; Zhu, Song-Ping - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-20
This paper investigates the American option price in a two-state regime-switching model. The dynamics of underlying are driven by a Markov-modulated Geometric Wiener process. That means the interest rate, the appreciation rate, and the volatility of underlying rely on hidden states of the...
Persistent link: https://www.econbiz.de/10012533592