scholarly journals Pricing barrier options by a regime switching model

2011 ◽  
Vol 11 (8) ◽  
pp. 1221-1231 ◽  
Author(s):  
Pål Nicolai Henriksen
Keyword(s):  
Regime Switching ◽  
Barrier Options ◽  
Regime Switching Model ◽  
Switching Model

scholarly journals Efficient Lattice Method for Valuing of Options with Barrier in a Regime Switching Model

2016 ◽  
Vol 2016 ◽  
pp. 1-14 ◽  
Author(s):  
Youngchul Han ◽  
Geonwoo Kim
Keyword(s):  
Regime Switching ◽  
The Other ◽  
Barrier Options ◽  
Computational Results ◽  
Lattice Method ◽  
Regime Switching Model ◽  
Switching Model ◽  
Tree Methods ◽  
Local Average ◽  
Tree Method

We propose an efficient lattice method for valuation of options with barrier in a regime switching model. Specifically, we extend the trinomial tree method of Yuen and Yang (2010) by calculating the local average of prices near a node of the lattice. The proposed method reduces oscillations of the lattice method for pricing barrier options and improves the convergence speed. Finally, computational results for the valuation of options with barrier show that the proposed method with interpolation is more efficient than the other tree methods.

Pricing external barrier options in a regime-switching model

2015 ◽  
Vol 53 ◽  
pp. 123-143 ◽  
Author(s):  
Jerim Kim ◽  
Jeongsim Kim ◽  
Hyun Joo Yoo ◽  
Bara Kim
Keyword(s):  
Regime Switching ◽  
Barrier Options ◽  
Regime Switching Model ◽  
Switching Model ◽  
External Barrier
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