The return barrier and return timer option with pricing under Levy processes
JL Kirkby, JP Aguilar - Expert Systems with Applications, 2023 - Elsevier
This work introduces two new financial derivatives into the finance literature. The first is the
return barrier option, which has emerged recently as a popular contract in the OTC markets …
return barrier option, which has emerged recently as a popular contract in the OTC markets …
On pricing double-barrier options with Markov regime switching
X Zhang, T Zhang - Finance Research Letters, 2023 - Elsevier
We propose an efficient method for valuation of double-barrier options in a Markov regime
switching diffusion model. This model incorporates three factors: Structural changes in …
switching diffusion model. This model incorporates three factors: Structural changes in …
Multi-regime foreign exchange rate model: Calibration and pricing
Z Zhang - Mathematics and Computers in Simulation, 2024 - Elsevier
To price exotic foreign exchange (FX) options, a model needs to be selected for FX spot rate
dynamics. The classic approach of modelling spot rates with Black–Scholes framework …
dynamics. The classic approach of modelling spot rates with Black–Scholes framework …
The Return Barrier and Return Timer Option with Pricing Under Lévy Processes
J Lars Kirkby, JP Aguilar - Available at SSRN 4308310, 2023 - papers.ssrn.com
This work introduces two new financial derivatives into the finance literature. The first is the
Return Barrier Option, which has emerged recently as a popular contract in the OTC …
Return Barrier Option, which has emerged recently as a popular contract in the OTC …