Barrier option rebate formula
This service is more advanced with JavaScript available, learn more at http: Mathematics and Financial Economics.
An explicit analytic formula for pricing barrier options with regime switching | SpringerLink
This paper investigates the valuation of a European-style barrier option in a Markovian, regime-switching, Black—Scholes—Merton economy, where the price process of an underlying risky asset is assumed to follow a Markov-modulated geometric Brownian motion. An explicit analytic solution in infinite series form for the price of a European-style barrier option in a two-state regime is presented.
Part of Springer Nature. Not logged in Not affiliated An explicit analytic formula for pricing barrier options with regime switching.
Cite this article as: Math Finan Econ 9: Feynman—Kac formula for switching diffusions: The pricing of options and corporate liabilities. Regime switching and European options.
Stochastic theory and control. American options with regime switching. Springer, Berlin Google Scholar. Option pricing and esscher transform under regime switching. Option valuation under a regime-switching constant elasticity of variance process. On pricing barrier options with regime switching. An analytic formula for the price of an American-style Asian option of floating strike type. Information and option pricings.
Option pricing with Markov-modulated dynamics. Option pricing under a double exponential jump diffusion model.
An analytic pricing formula for lookback options under stochastic volatility. Numerically solving non-linear problems by the homotopy analysis method. Analytic solutions of the temperature distribution in Blasius viscous flow problems. A short note on higher-order streamfunction-vorticity formulations of 2D steady state Navier—Stokes make money programming without degree. Fluids 221—9 CrossRef MATH Google Scholar.
Rebate Barrier Option
Solving the Earnest money on a hud home equation with the general boundary element method approach.
XIII— Google Scholar. A simple approach for pricing barrier options with time-dependent parameters. Theory of rational option pricing. Iterative Solution barrier option rebate formula Nonlinear Equations in Several Variables. Academic Press, New York MATH Google Scholar. Homotopy barrier option rebate formula method for option pricing under stochastic volatility.
Derivatives | Touch Rebate Barrier Option
The mathematical foundations of barrier option-pricing theory. Pricing barrier options with time-dependent coefficients. Breaking down the barriers. RISK 428—35 Google Scholar.
An exact and explicit solution for the valuation of American put options. An Analytic Formula for Pricing American Options with Regime Switching [Epub ahead of print]. School of Mathematics and Statistics University of New South Wales Sydney Australia 2.
School of Mathematics and Applied Statistics University of Wollongong Wollongong Australia. Publisher Name Springer Berlin Heidelberg Print ISSN Online ISSN About this journal Reprints and Permissions.
Source Sans Pro, Helvetica, Arial, sans-serif; font-size: Unlimited access to the full article Instant download Include local sales tax if applicable. Get Access to Mathematics and Financial Economics. Learn about institutional subscriptions. RIS Papers Reference Manager RefWorks Zotero.
BIB BibTeX JabRef Mendeley. Share article Email Facebook Twitter LinkedIn.
Cookies We use cookies to improve your experience with our site. Over 10 million scientific documents at your fingertips Switch Edition Academic Edition Corporate Edition.
