Valuing qualitative options with stochastic volatility
SCIE
SCOPUS
- Title
- Valuing qualitative options with stochastic volatility
- Authors
- Jang, BG; Roh, KH
- Date Issued
- 2009-01
- Publisher
- ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
- Abstract
- We find a closed-form formula for valuing a time-switch option where its underlying asset is affected by a stochastically changing market environment, and apply it to the valuation of other qualitative options such as corridor options and options in foreign exchange markets. The stochastic market environment is modeled as a Markov regime-switching process. This analytic formula provides us with a rapid and accurate scheme for valuing qualitative options with stochastic volatility.
- Keywords
- Stochastic volatility; Regime-switching environment; Alternative investment; Qualitative option; Corridor option; REGIME; VALUATION
- URI
- https://oasis.postech.ac.kr/handle/2014.oak/26590
- DOI
- 10.1080/14697680802629392
- ISSN
- 1469-7688
- Article Type
- Article
- Citation
- QUANTITATIVE FINANCE, vol. 9, no. 7, page. 819 - 825, 2009-01
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