Adelaide Research & Scholarship
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https://hdl.handle.net/2440/89558
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| Type: | Journal article |
| Title: | On pricing barrier options with regime switching |
| Author: | Elliott, R. Siu, T. Chan, L. |
| Citation: | Journal of Computational and Applied Mathematics, 2014; 256:196-210 |
| Publisher: | Elsevier |
| Issue Date: | 2014 |
| ISSN: | 0377-0427 1879-1778 |
| Statement of Responsibility: | Robert J. Elliott, Tak Kuen Siu, Leunglung Chan |
| Abstract: | Abstract not available |
| Keywords: | Barrier option; Regime switching model; Fundamental matrix solution; Integral representation; Free boundary problem |
| Rights: | © 2013 Elsevier B.V. All rights reserved. |
| DOI: | 10.1016/j.cam.2013.07.034 |
| Published version: | http://dx.doi.org/10.1016/j.cam.2013.07.034 |
| Appears in Collections: | Aurora harvest 2 Mathematical Sciences publications |
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