Analytical Approximation Formula for Barrier Option Prices under the Regime-Switching Model

被引：3
|
作者：
He, Xin-Jiang [1 ]
Zhu, Song-Ping [1 ,2 ]
机构：
[1] Univ Wollongong, Sch Math & Appl Stat, Wollongong, NSW, Australia
[2] Tianjin Univ Finance & Econ China, Tianjin, Peoples R China
来源：
JOURNAL OF DERIVATIVES | 2019年 / 27卷 / 02期
关键词：
Analysis of individual factors/risk premia; factor-based models; options;
D O I：
10.3905/jod.2019.1.088
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this article barrier options are analytically evaluated under the regime-switching model, with the volatility of the underlying price being allowed to jump between different states following a Markov chain. The target barrier option prices are expressed in a Fourier cosine series after a particular approximation formula is obtained. The accuracy and efficiency of the newly derived formula are demonstrated through numerical experiments, demonstrating the formula's potential for practical applications.
引用
收藏
页码：108 / 119
页数：12
相关论文
共 50 条
  • [1] An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
    He, Xin-Jiang
    Zhu, Song-Ping
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2016, 71 : 77 - 85
  • [2] An Analytical Approximation Formula for Barrier Option Prices Under the Heston Model
    Xin-Jiang He
    Sha Lin
    [J]. Computational Economics, 2022, 60 : 1413 - 1425
  • [3] An Analytical Approximation Formula for Barrier Option Prices Under the Heston Model
    He, Xin-Jiang
    Lin, Sha
    [J]. COMPUTATIONAL ECONOMICS, 2022, 60 (04) : 1413 - 1425
  • [4] Polynomial Approximation to Option Prices under Regime Switching
    Tang, Yunfan
    [J]. NORTH AMERICAN ACTUARIAL JOURNAL, 2013, 17 (02) : 168 - 179
  • [5] On barrier option pricing by Erlangization in a regime-switching model with jumps
    Deelstra, Griselda
    Latouche, Guy
    Simon, Matthieu
    [J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2020, 371
  • [6] Option Valuation Under a Double Regime-Switching Model
    Shen, Yang
    Fan, Kun
    Siu, Tak Kuen
    [J]. JOURNAL OF FUTURES MARKETS, 2014, 34 (05) : 451 - 478
  • [7] British Put Option On Stocks Under Regime-Switching Model
    Sumalpong, Felipe R., Jr.
    Frondoza, Michael B.
    Sayson, Noel Lito B.
    [J]. EUROPEAN JOURNAL OF PURE AND APPLIED MATHEMATICS, 2023, 16 (03): : 1830 - 1847
  • [8] A reduced lattice model for option pricing under regime-switching
    Costabile M.
    Leccadito A.
    Massabó I.
    Russo E.
    [J]. Review of Quantitative Finance and Accounting, 2014, 42 (4) : 667 - 690
  • [9] Option Pricing with a Regime-Switching Levy Model
    Siu, Chi Chung
    [J]. 2010 RECENT ADVANCES IN FINANCIAL ENGINEERING, 2011, : 151 - 179
  • [10] Double barrier option under regime-switching exponential mean-reverting process
    Eloe, P.
    Liu, R. H.
    Sun, J. Y.
    [J]. INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2009, 86 (06) : 964 - 981
12345