منابع مشابه
Pricing exotic options under regime switching: A Fourier transform method
This paper considers the valuation of exotic options (i.e. digital, barrier, and lookback options) in a Markovian, regime-switching, Black-Scholes model. In Fourier space, analytical expressions for the option prices are derived via the theory on matrix Wiener-Hopf factorizations. A comparison to numerical alternatives, i.e. the Brownian bridge algorithm or a finite element scheme, demonstrates...
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For many path-dependent options, such as Asian options, lookbacks, Parisian options, using partial differentiation equation (PDE) approach to price these exotic options can be straightforward and flexible. In addition, modified versions of the standard exotic path-dependent options can be easily accommodated in the same pricing algorithms. For example, American early exercise features, barriers...
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تاریخ انتشار 2001