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Title:

Pricing exotic options in a regime switching economy: A Fourier transform method

Document type:
Zeitschriftenaufsatz
Author(s):
Hieber, P.
Non-TUM Co-author(s):
ja
Cooperation:
international
Abstract:
This article considers the valuation of digital, barrier, and lookback options in a Markovian, regime-switching, Black–Scholes model. In Fourier space, integral representations for the option prices are derived via the theory on matrix Wiener–Hopf factorizations. Our main focus is on the 2-state case where the matrix Wiener–Hopf factorization is available analytically. A comparison to several numerical alternatives (analytical approximations, the Brownian bridge algorithm and a finite element sc...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Review of Derivatives Research
Journal listet in FT50 ranking:
nein
Year:
2018
Journal issue:
Vol. 21
Pages contribution:
231-252
Fulltext / DOI:
doi:10.1007/s11147-017-9139-1
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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