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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Hieber, P. 
Nicht-TUM Koautoren:
nein 
Kooperation:
Titel:
Pricing exotic options under regime switching: A Fourier transform method 
Abstract:
This paper considers the valuation of exotic options (i.e. digital, barrier, and lookback options) in a Markovian, regime-switching, Black-Scholes model. In Fourier space, analytical expressions for the option prices are derived via the theory on matrix Wiener-Hopf factorizations. A comparison to numerical alternatives, i.e. the Brownian bridge algorithm or a finite element scheme, demonstrates that the given formulas are easy to implement and lead to accurate and unbiased price estimates. 
Stichworte:
Regime switching, Markov switching, Wiener–Hopf factorization, option pricing 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
working paper 
Journal gelistet in FT50 Ranking:
nein 
Jahr:
2014 
Seitenangaben Beitrag:
Reviewed:
nein 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Key publication:
Ja 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisziplinarität:
Nein