{"title":"有回扣的制度转换模型中的障碍期权定价","authors":"Yue-xu Zhao, Jia-yong Bao","doi":"10.1007/s10255-024-1053-3","DOIUrl":null,"url":null,"abstract":"<div><p>This paper is concerned with the valuation of single and double barrier knock-out call options in a Markovian regime switching model with specific rebates. The integral formulas of the rebates are derived via matrix Wiener-Hopf factorizations and Fourier transform techniques, also, the integral representations of the option prices are constructed. Moreover, the first-passage time density functions in two-state regime model are derived. As applications, several numerical algorithms and numerical examples are presented.</p></div>","PeriodicalId":6951,"journal":{"name":"Acta Mathematicae Applicatae Sinica, English Series","volume":"40 3","pages":"849 - 861"},"PeriodicalIF":0.9000,"publicationDate":"2024-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Barrier Option Pricing in Regime Switching Models with Rebates\",\"authors\":\"Yue-xu Zhao, Jia-yong Bao\",\"doi\":\"10.1007/s10255-024-1053-3\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This paper is concerned with the valuation of single and double barrier knock-out call options in a Markovian regime switching model with specific rebates. The integral formulas of the rebates are derived via matrix Wiener-Hopf factorizations and Fourier transform techniques, also, the integral representations of the option prices are constructed. Moreover, the first-passage time density functions in two-state regime model are derived. As applications, several numerical algorithms and numerical examples are presented.</p></div>\",\"PeriodicalId\":6951,\"journal\":{\"name\":\"Acta Mathematicae Applicatae Sinica, English Series\",\"volume\":\"40 3\",\"pages\":\"849 - 861\"},\"PeriodicalIF\":0.9000,\"publicationDate\":\"2024-06-05\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Acta Mathematicae Applicatae Sinica, English Series\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://link.springer.com/article/10.1007/s10255-024-1053-3\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"MATHEMATICS, APPLIED\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Acta Mathematicae Applicatae Sinica, English Series","FirstCategoryId":"100","ListUrlMain":"https://link.springer.com/article/10.1007/s10255-024-1053-3","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
Barrier Option Pricing in Regime Switching Models with Rebates
This paper is concerned with the valuation of single and double barrier knock-out call options in a Markovian regime switching model with specific rebates. The integral formulas of the rebates are derived via matrix Wiener-Hopf factorizations and Fourier transform techniques, also, the integral representations of the option prices are constructed. Moreover, the first-passage time density functions in two-state regime model are derived. As applications, several numerical algorithms and numerical examples are presented.
期刊介绍:
Acta Mathematicae Applicatae Sinica (English Series) is a quarterly journal established by the Chinese Mathematical Society. The journal publishes high quality research papers from all branches of applied mathematics, and particularly welcomes those from partial differential equations, computational mathematics, applied probability, mathematical finance, statistics, dynamical systems, optimization and management science.