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An explicit analytic formula for pricing barrier options with regime switching

Journal Article


Abstract


  • This paper investigates the valuation of a European-style barrier option in a Markovian, regime-switching, Black-Scholes-Merton economy, where the price process of an underlying risky asset is assumed to follow a Markov-modulated geometric Brownian motion. An explicit analytic solution in infinite series form for the price of a European-style barrier option in a two-state regime is presented.

Publication Date


  • 2015

Citation


  • L. Chan & S. Zhu, "An explicit analytic formula for pricing barrier options with regime switching," Mathematics and Financial Economics, vol. 9, (1) pp. 29-37, 2015.

Scopus Eid


  • 2-s2.0-84939888067

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers/2842

Has Global Citation Frequency


Number Of Pages


  • 8

Start Page


  • 29

End Page


  • 37

Volume


  • 9

Issue


  • 1

Place Of Publication


  • Germany

Abstract


  • This paper investigates the valuation of a European-style barrier option in a Markovian, regime-switching, Black-Scholes-Merton economy, where the price process of an underlying risky asset is assumed to follow a Markov-modulated geometric Brownian motion. An explicit analytic solution in infinite series form for the price of a European-style barrier option in a two-state regime is presented.

Publication Date


  • 2015

Citation


  • L. Chan & S. Zhu, "An explicit analytic formula for pricing barrier options with regime switching," Mathematics and Financial Economics, vol. 9, (1) pp. 29-37, 2015.

Scopus Eid


  • 2-s2.0-84939888067

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers/2842

Has Global Citation Frequency


Number Of Pages


  • 8

Start Page


  • 29

End Page


  • 37

Volume


  • 9

Issue


  • 1

Place Of Publication


  • Germany