Jang, Bong-Gyu; Roh, Kum-Hwan - In: Quantitative Finance 9 (2009) 7, pp. 819-825
We find a closed-form formula for valuing a time-switch option where its underlying asset is affected by a stochastically changing market environment, and apply it to the valuation of other qualitative options such as corridor options and options in foreign exchange markets. The stochastic...