User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Hieber, P. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Pricing exotic options in a regime switching economy: A Fourier transform method 
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 
Key publication:
Nein 
Peer reviewed:
Ja 
Commissioned:
not commissioned 
Technology:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
Ethics and Sustainability:
Nein