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Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Hieber, P.
Nicht-TUM Koautoren:
ja
Kooperation:
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
Zeitschriftentitel:
Review of Derivatives Research
Journal gelistet in FT50 Ranking:
nein
Jahr:
2018
Heft / Issue:
Vol. 21
Seitenangaben Beitrag:
231-252
Volltext / DOI:
doi:10.1007/s11147-017-9139-1
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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