An explicit analytic formula for pricing barrier options with regime switching

被引：0
|
作者：
Leunglung Chan
Song-Ping Zhu
机构：
[1] University of New South Wales,School of Mathematics and Statistics
[2] University of Wollongong,School of Mathematics and Applied Statistics
来源：
Mathematics and Financial Economics | 2015年 / 9卷
关键词：
Barrier option; Markov-modulated geometric Brownian motion; Regime switching model; Homotopy analysis method;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper investigates the valuation of a European-style barrier option in a Markovian, regime-switching, Black–Scholes–Merton economy, where the price process of an underlying risky asset is assumed to follow a Markov-modulated geometric Brownian motion. An explicit analytic solution in infinite series form for the price of a European-style barrier option in a two-state regime is presented.
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页码：29 / 37
页数：8
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