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International Journal of Computer Mathematics Volume 86, 2009 - Issue 6: SPECIAL ISSUE ON FINANCIAL DERIVATIVES
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Original Articles

Double barrier option under regime-switching exponential mean-reverting process

P. Eloe Department of Mathematics, University of Dayton, Dayton, OH, USA
,
R. H. Liu Department of Mathematics, University of Dayton, Dayton, OH, USACorrespondence[email protected]
&
J. Y. Sun Department of Mathematics, University of Dayton, Dayton, OH, USA
Pages 964-981 | Received 06 May 2008, Accepted 26 Sep 2008, Published online: 01 Jun 2009

Citations (13)

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Jingtang Ma, Hongji Tang & Song-Ping Zhu. (2018) Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates. International Journal of Computer Mathematics 95:2, pages 341-360.
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Articles from other publishers (12)

Farshid Mehrdoust, Idin Noorani & Juho Kanniainen. (2023) Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market. Mathematics and Computers in Simulation.
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Xiaoyuan Zhang & Tianqi Zhang. (2023) On pricing double-barrier options with Markov regime switching. Finance Research Letters 51, pages 103413.
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Son-Nan Chen & Pao-Peng Hsu. (2018) Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model. International Review of Economics & Finance 56, pages 330-346.
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Peter Hieber. (2017) Pricing exotic options in a regime switching economy: a Fourier transform method. Review of Derivatives Research 21:2, pages 231-252.
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Zhiqiang Zhou & Xuemei Gao. (2017) Laplace Transform Methods for a Free Boundary Problem of Time-Fractional Partial Differential Equation System. Discrete Dynamics in Nature and Society 2017, pages 1-9.
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Jingtang Ma & Tengfei Zhu. (2015) Convergence rates of trinomial tree methods for option pricing under regime-switching models. Applied Mathematics Letters 39, pages 13-18.
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Peter Hieber. (2013) A Correction Note on: When the “Bull” Meets the “Bear”—A First Passage Time Problem for a Hidden Markov Process. Methodology and Computing in Applied Probability 16:3, pages 771-776.
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R.H. Liu & J.L. Zhao. (2013) A lattice method for option pricing with two underlying assets in the regime-switching model. Journal of Computational and Applied Mathematics 250, pages 96-106.
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A.Q.M. Khaliq, B. Kleefeld & R.H. Liu. (2013) Solving complex PDE systems for pricing American options with regime-switching by efficient exponential time differencing schemes. Numerical Methods for Partial Differential Equations 29:1, pages 320-336.
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R.H. Liu. (2012) A new tree method for pricing financial derivatives in a regime-switching mean-reverting model. Nonlinear Analysis: Real World Applications 13:6, pages 2609-2621.
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P. Eloe & R. H. Liu. (2011) Upper and Lower Solutions for Regime-Switching Diffusions with Applications in Financial Mathematics. SIAM Journal on Applied Mathematics 71:4, pages 1354-1373.
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R. H. LIU. (2011) REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING. International Journal of Theoretical and Applied Finance 13:03, pages 479-499.
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