Analytical Approximation Formula for Barrier Option Prices under the Regime-Switching Model
Xin-Jiang He and Song-Ping Zhu
The Journal of Derivatives Winter 2019, 27 (2) 108-119; DOI: https://doi.org/10.3905/jod.2019.1.088
Xin-Jiang He
is a tenured lecturer in the School of Mathematics and Applied Statistics at the University of Wollongong in Australia
Song-Ping Zhu
is a professor in the School of Mathematics and Applied Statistics at the University of Wollongong in Australia, and an adjunct professor of Tianjin University of Finance and Economics in China
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In this issue
The Journal of Derivatives
Vol. 27, Issue 2
Winter 2019
Analytical Approximation Formula for Barrier Option Prices under the Regime-Switching Model
Xin-Jiang He, Song-Ping Zhu
The Journal of Derivatives Nov 2019, 27 (2) 108-119; DOI: 10.3905/jod.2019.1.088